A portfolio manager summarizes the input from the macro and micro forecasters in the following table:

Required:

a$.$ Calculate expected excess returns, alpha values, and residual variances for these stocks.

b$.$ Compute the proportion in the active portfolio and the passive index.

c$.$ What is the Sharpe ratio for the optimal portfolio?

d$.$ By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy?

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 $3\mathrm{.}1?$

I am stuck on question b$.$