A portfolio manager summarizes the input from the macro and micro forecasters in the follow$-$

ing table:

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

b$.$ Construct the optimal risky portfolio.

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 $2\mathrm{.}8?$