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Is this possible to do on excel? A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock
Is this possible to do on excel?
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 Return (%) Beta 25 1.6 22 2.2 21 1.4 16 1.5 Residual Standard Deviation (%) 50 58 55 43 Macro Forecasts Standard Deviation Asset Expected Return T-bills Passive equity portfolio 12 18 30 Calculate the following for a portfolio manager who is not allowed to short sell securities. The manager's Sharpe ratio is 0.2476. 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 = 3.7) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Cases Unconstrained Constrained Passive Utility Levels % % % 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 Return (%) Beta 25 1.6 22 2.2 21 1.4 16 1.5 Residual Standard Deviation (%) 50 58 55 43 Macro Forecasts Standard Deviation Asset Expected Return T-bills Passive equity portfolio 12 18 30 Calculate the following for a portfolio manager who is not allowed to short sell securities. The manager's Sharpe ratio is 0.2476. 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 = 3.7) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Cases Unconstrained Constrained Passive Utility Levels % % %Step by Step Solution
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