A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Expected Standard Return (8) Beta Deviation (%) 22 60 19 1.8 72 18 1.0 61 13 1.0 56 Asset Stock A Stock B Stock C Stock D 1.5 Macro Forecasts Expected Standard Return Deviation Asset (%) T-bills 9 0 Passive equity portfolio 17 23 a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place.) Stock D 4 % Excess returns Alpha values Residual variances Stock A 13 % 1.0% 3,600 Stock B 10 % (4.4) % 5,184 Stock C % 1.01% 3,721 (4.0) % 3,136 b. Compute the proportion in the optimal risky portfolio. (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Proportion c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Sharpe ratio A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Expected Standard Return (8) Beta Deviation (%) 22 60 19 1.8 72 18 1.0 61 13 1.0 56 Asset Stock A Stock B Stock C Stock D 1.5 Macro Forecasts Expected Standard Return Deviation Asset (%) T-bills 9 0 Passive equity portfolio 17 23 a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place.) Stock D 4 % Excess returns Alpha values Residual variances Stock A 13 % 1.0% 3,600 Stock B 10 % (4.4) % 5,184 Stock C % 1.01% 3,721 (4.0) % 3,136 b. Compute the proportion in the optimal risky portfolio. (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Proportion c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Sharpe ratio