A portfolio manager summarizes the input from the macro and micro forecasters in the following table:

Required:

a$.$ Calculate expected excess returns, alpha values, and residual variances for these stocks.

b$.$ Compute the proportion in the active portfolio and the passive index.

c$.$ What is the Sharpe ratio for the optimal portfolio?

d$.$ By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy?

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 $3\mathrm{.}1?$

Complete this question by entering your answers in the tabs below.

Calculate expected excess returns, alpha values, and residual variances for these stocks.

Note: Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round "Alpha values" to $1$

decimal place. Calculate using numbers in decimal form, not percentages. For example use $"20"$ for calculation if standard

deviation is provided as $20\%.$

Complete this question by entering your answers in the tabs below.

Required B

Required $A$

Required B

Required C

Compute the proportion in the active portfolio and the passive index.

Note: Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as

decimals rounded to $4$ places. Calculate using numbers in decimal form, not percentages. For example use $"20"$ for calculation

if standard deviation is provided as $20\%.$