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		21		1.4		51
Stock B		18		2.0		62
Stock C		17		1.2		54
Stock D		13		1.3		44

Macro Forecasts
Asset	Expected Return (%)			Standard Deviation (%)
T-bills		10			0
Passive equity portfolio		15			24

Calculate the following for a portfolio manager who is not allowed to short sell securities.

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 4 places.)

COST OF RESTRICTION

b. What is the utility loss to the investor (A = 3.6) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

CASES	UTILITY LEVELS
UNCONSTRAINED	%
CONSTRAINED	%
PASSIVE	%