A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecast Residual Expected Standard Anet Return () neta Deviation () Stock A 23 1.8 60 stock B 20 2.5 72 Stock C 18 1.6 65 Stock D 9 1.7 53 Macro Porecasts Expected Return Asset () T-bills 8 Passive equity portfolio 14 Standard Deviation UN) 0 26 a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be Indie a minus sign. Do not round intermediate calculations, Round "Alpha values" to 1 decimal place.) Stock A Stock B Stock C % % % % Stock D % % Excess returns Alpha values Residual variances % % 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 the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Sharpe ratio d. By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy? (Do round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Active portfolio e. What should be the exact makeup of the complete portfolio (including the risk free asset) for an investor with a coeficient of risk aversion of 2.8? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions % Bills M B % % % % % D Total