21. Assume a risky portfolio with an expected return of 12.5% and a standard deviation of 23.0%. The risk-free rate is 3.5%. a. What is the Sharpe ratio of the risky portfolio? 0.39 b. If an investor had a capital allocation of 68% in the risky portfolio and 32% in the risk-free asset, what would be the expected return and standard deviation of the investor's complete portfolio? 9.62%; 15.64% What optimal capital allocation [portfolio weights (y*, 1 - y*)] would you recommend for the complete portfolio for an investor with risk aversion of 2.0? For an investor with risk aversion of 3.0? For an investor with risk aversion 3.5? (85.07%, 14.93%); (56.71%, 43.29%); (48.61%, 51.39%) d. For the investor with a risk aversion of 2.0, compute the expected return and the standard deviation of the investor's optimal complete portfolio. 11.16%; 19.57% e. For the investor with a risk aversion of 3.5, compute the expected return and the standard deviation of the investor's optimal complete portfolio. 7.87%; 11.18% f. What are the Sharpe ratios of the three investors' optimal complete portfolios? 0.39; 0.39; 0.39 C.