I just need part C and D
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 Expected Residual Standard Return (%) Beta Deviation (%) 24 20 1.4 19 0.7 16 0.8 70 61 Standard Deviation Macro Forecasts Expected Return Asset T-bills Passive equity portfolio 20 13 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 C Stock D Excess returns Alpha values Residual variances Stock A 11 % 17.7 % 0 Stock B 7 % 10.2 % 0 14.1% 0 10.4 % 0 b. Compute the proportion in the optimal risky portfolio. (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Proportion 1.0000 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 0.4729 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 D 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 2.9? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Total 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 Expected Residual Standard Return (%) Beta Deviation (%) 24 20 1.4 19 0.7 16 0.8 70 61 Standard Deviation Macro Forecasts Expected Return Asset T-bills Passive equity portfolio 20 13 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 C Stock D Excess returns Alpha values Residual variances Stock A 11 % 17.7 % 0 Stock B 7 % 10.2 % 0 14.1% 0 10.4 % 0 b. Compute the proportion in the optimal risky portfolio. (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Proportion 1.0000 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 0.4729 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 D 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 2.9? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Total
