QUESTION 17 Suppose a stock fund has an expected return of 15% and standard deviation of 20%. The T-bill rate is 3%, while the borrowing rate faced by investors is 8%. There are two investors Emmy and Lucas with coefficients of risk aversion 6 and 1.2, respectively. a. What are optimal proportions in risky stock fund by each investor? Emmy: ? Lucas: b. What are the expected returns and standard deviations of their portfolios? For Emmy, E()= ? or ? For Lucas, E(T) = ? or=