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A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Asset Expected Return ( % ) Beta
A portfolio manager summarizes the input from the macro and micro forecasters in the following table:
Micro Forecasts
Asset Expected Return Beta Residual Standard Deviation
Stock A
Stock B
Stock C
Stock D
Macro Forecasts
Asset Expected Return Standard Deviation
Tbills
Passive equity portfolio
Calculate the following for a portfolio manager who is not allowed to short sell securities If allowed to short sell securities the manager's Sharpe ratio is
a What is the cost of the restriction in terms of Sharpes measure? Do not round intermediate calculations. Enter your answer as decimals rounded to places.
b What is the utility loss to the investor A given his new complete portfolio? Do not round intermediate calculations. Round your answers to decimal places.
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