The universe of available securities to investors includes two risky stock funds, A and B, and T-bills. The data for the universe are as follows: Expected Return Standard Deviation A 10% 20% 30% 60% T-bills 5% 0 The optimal risky portfolio P has been found to have expected return of 20% and standard deviation of 28.28%. If an investor wants to borrow at the risk-free rate to invest in the optimal risky portfolio, we know that the investor must have : a. Coefficient of risk aversion 1.875 d. Coefficient of risk aversion = 0 e. Coefficient of risk aversion > 0