Check my wa A portfolo manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Expected Return (% ) Beta Residual Standard Deviation (%) Asset Stock A 27 0.8 59 Stock B 12 1.2 69 Stock C 11 0.5 62 Stock D 0.6 54 Macro Forecasts Expected Return Standard Deviation Asset (%) (%) T-bills 6 Passive equity portfolio 12 20 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 C tock D Excess returns 21 % 6 % 5 % 3% Alpha values 0.2 % (1.2) % (0.6)% 2,916 2.0 % 3,481 Residual variances 3,844 4,761 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 answers 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 answers as decimals rounded to 4 places.) Active portfolio Founded 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 3.0? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills M A % B C Total Check my wa A portfolo manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Expected Return (% ) Beta Residual Standard Deviation (%) Asset Stock A 27 0.8 59 Stock B 12 1.2 69 Stock C 11 0.5 62 Stock D 0.6 54 Macro Forecasts Expected Return Standard Deviation Asset (%) (%) T-bills 6 Passive equity portfolio 12 20 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 C tock D Excess returns 21 % 6 % 5 % 3% Alpha values 0.2 % (1.2) % (0.6)% 2,916 2.0 % 3,481 Residual variances 3,844 4,761 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 answers 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 answers as decimals rounded to 4 places.) Active portfolio Founded 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 3.0? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills M A % B C Total