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A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock B Stock C Stock D
A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock B Stock C Stock D Micro Forecasts Residual Expected Standard Return (3) Beta Deviation (6) 21 1.3 52 18 1.6 62 17 1.1 58 10 1.2 50 Macro Forecasts Expected Return Asset Standard Deviation (3) 0 25 T-bills Passive equity portfolio 6 15 Calculate the following for a portfolio manager who is not allowed to short sell securities. The manager's Sharpe ratio is 0.3924. a. What is the cost of the restriction in terms of Sharpe's 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 = 3.2) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Utility Levels % Cases Unconstrained Constrained Passive % % A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock B Stock C Stock D Micro Forecasts Residual Expected Standard Return (3) Beta Deviation (6) 21 1.3 52 18 1.6 62 17 1.1 58 10 1.2 50 Macro Forecasts Expected Return Asset Standard Deviation (3) 0 25 T-bills Passive equity portfolio 6 15 Calculate the following for a portfolio manager who is not allowed to short sell securities. The manager's Sharpe ratio is 0.3924. a. What is the cost of the restriction in terms of Sharpe's 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 = 3.2) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Utility Levels % Cases Unconstrained Constrained Passive % %
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