Question: An investor with a mean-variance utility who allocates wealth between one risk free and n risky assets.Consider the following statement: From the point of view

An investor with a mean-variance utility who allocates wealth between one risk free and n risky assets.Consider the following statement: From the point of view of this investor, the tangency portfolio (T) will not necessarily dominate all other possible portfolios consisting of n risky assets and one riskless asset, eventhough it achieves the highest possible Sharpe ratio. Do you agree with this statement? Carefully explain your reasoning and use a diagram to support your answer.

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