Micro Forecasts
Asset	Expected Return (%)	Beta	Residual Standard
			Deviation (%)
Stock A	17	1.3	46
Stock B	16	2.3	65
Stock C	15	1	54
Stock D	10	1	49

Macro Forecasts
Asset	Expected Return (%)	Standard Deviation (%)
T-bills	8	0
Passive equity portfolio	14	28

a. Compute the proportion in the active portfolio and the passive index. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.)

b. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.)

c. 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 answer as decimals rounded to 4 places.)

d. 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 3.2? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

	%
Bills
M
A
Bills
C
D
Total