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3. Consider three investors A, B, and C and one risky asset. The mean and standard deviation of the risky asset's return is 11 percent and 14 percent. The risk-free borrowing rate IS 4 percent and the risk-free saving rate is 3 percent. The objective of the three investors is to maximize E(rc) 0.005/\iOc2, where E(rc) and are the expected return and the variance of an investor's portfolio and i A B, C and A A 3, 4.5, = 4 Suppose there is a second risky asset. The mean and the standard deviation of the second risky asset's return are 2 percent and 7 percent. The coefficient of correlation between the two risky assets' returns is -1. (e) Use the two risky assets to construct a portfolio whose return has zero stan- dard deviation. (f) Is there an arbitrage opportunity after we introduce the second risky asset and why?