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		25		1.6		50
Stock B		22		2.2		58
Stock C		21		1.4		55
Stock D		16		1.5		43

Macro Forecasts
Asset	Expected Return (%)			Standard Deviation (%)
T-bills		12			0
Passive equity portfolio		18			30

Calculate the following for a portfolio manager who is not allowed to short sell securities. The manager's Sharpe ratio is 0.2476.

What is the cost of the restriction in terms of Sharpes measure?

What is the utility loss to the investor (A = 3.7) given his new complete portfolio?

Cases Utility Levels

Unconstrained %

Constrained %

Passive %