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Elaborate the answers in excel if possible A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts
Elaborate the answers in excel if possible
A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Asset Expected Return (%) Beta Residual Standard Deviation (%) 52 25 0.8 1.2. Stock A Stock B Stock C Stock D 16 0.6 0.7 47 Macro Forecasts Expected Return (%) Standard Deviation Asset T-bills Passive equity portfolio 18 6 Calculate the following for a portfolio manager who is not allowed to short sell securities. The manager's Sharpe ratio is 0.4284. a. What is the cost of the restriction in terms of Sharpe's measure? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Cost of restriction b. What is the utility loss to the investor (A = 3.0) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Cases Utility Levels Unconstrained Constrained Passive A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Asset Expected Return (%) Beta Residual Standard Deviation (%) 52 25 0.8 1.2. Stock A Stock B Stock C Stock D 16 0.6 0.7 47 Macro Forecasts Expected Return (%) Standard Deviation Asset T-bills Passive equity portfolio 18 6 Calculate the following for a portfolio manager who is not allowed to short sell securities. The manager's Sharpe ratio is 0.4284. a. What is the cost of the restriction in terms of Sharpe's measure? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Cost of restriction b. What is the utility loss to the investor (A = 3.0) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Cases Utility Levels Unconstrained Constrained PassiveStep by Step Solution
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