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 (%) Beta Deviation (%) 19 1.3 66 16 2.1 75 15 0.8 64 10 1.0 59 Macro Forecasts Expected Return Asset T-bills 6 Passive equity portfolio 14 Standard Deviation (%) 26 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 A Stock B Stock C Stock D % % Excess returns Alpha values Residual variances % % % % 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 d. By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Active portfolio e. What should be the exact makeup of the complete portfolio (including the risk-free asset) for an investor with a coefficient of risk aversion of 2.8? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills M % A % B C % % % % D Total