Suppose investors have the typical mean-variance utility and can lend money at some risk-free rate, 3%. Due to borrowing constraints, investors would have to borrow money at a higher risk-free rate, 5%. Investor 1 is more risk averse, and as such her optimal investment strategy is to invest some money in risk-free lending and the balance in the risky assets. Investor 2 is less risk averse, and as such her optimal investment strategy is to borrow and take a leveraged position in the risky assets. Which statement below about the chosen portfolios of risky assets for investors 1 and 2, P1 and P2, respectively, is true? Select one: 0 A. P1 and P2 are the same portfolio O B. P2 has higher expected return and volatility than P1, but same Sharpe ratio as P1 C.P2 has higher expected return and volatility than P1, but lower Sharpe ratio than P1 O D. P2 has lower expected return and volatility than P1, but same Sharpe ratio as P1 0 E. P2 has lower expected return and volatility than P1, but higher Sharpe ratio as P1