A portfolio manager summarizes the inpt You have FIVE MINUTES remaining to complete your work. ( a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indicatec a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place.) You have FIVE MINUTES remaining to complete your work. b. Compute the proportion in the active portfolio and the passive index. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) d. By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy? (Do not round intermediate calculations, Enter your answer as decimals rounded to 4 places.) d. By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) e. What should be the exact makeup of the complete portfolio (including the risk-free asset) for an investor with a coefficlent of risk aversion of 3.0? (Do not round intermediate calculations. Round your answers to 2 decimal places.) A portfolio manager summarizes the inpt You have FIVE MINUTES remaining to complete your work. ( a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indicatec a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place.) You have FIVE MINUTES remaining to complete your work. b. Compute the proportion in the active portfolio and the passive index. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) d. By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy? (Do not round intermediate calculations, Enter your answer as decimals rounded to 4 places.) d. By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) e. What should be the exact makeup of the complete portfolio (including the risk-free asset) for an investor with a coefficlent of risk aversion of 3.0? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
