Question: A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Standard Deviation () Asset Stock A

A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Standard Deviation () Asset Stock A Stock B Stock c Stock D Expected Return () Beta 1.5 2.1 1.3 1.4 20 18 14 50 59 56 Macro Forecasts Standared Deviation () Expected Return Asset T-bills Passive equity portfolio 16 23 Calculate the following for a portfolio manager who is not allowed to short sell securities. 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-3.5) given his new complete portfolio? (Do not round intermediate calculations Round your answers to 2 decimal places Utility Levels Cases Unconstrained Constrained Passive

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