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A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Required: Calculate the following for a portfolio manager who
A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Required: 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 0.3048 . a. What is the cost of the restriction in terms of Sharpe's measure? b. What is the utility loss to the investor (A=2.4) given his new complete portfolio
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