11. 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 (%)
Stock A	24	0.7	57
Stock B	14	1.1	71
Stock C	12	0.5	63
Stock D	10	0.6	52

Macro Forecast

Asset	Expected Return (%)	Standard Deviation (%)
T-Bills	7	0
Passive Equity Portfolio	14	25

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.Omit the "%" sign in your response.)

	Stock A	Stock B	Stock C	Stock D
Excess returns	17%	7%	5%	3%
Alpha values	12.10%	-0.70%	1.5%	-1.2%
Residual variances	3249	5041	3969	2704

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 Sharpes measure for the optimal portfolio and how much of it is contributed by the active portfolio? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)

Sharpe's measure _______??

Active portfolio ________??

d. What should be the exact makeup of the complete portfolio for an investor with a coefficient of risk aversion of 3.1? (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the % sign in your response.)

Final Positions

Bills ____%??

M _____%??

A _____%??

B _____%??

C _____%??

D _____%??

Total _____%??