A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecast Residual Expected Standard Asset Reta Beta Deviation ($) Stock A 28 1.5 40 Stock 22 62 Stock C21 0.9 51 Stock 16 1.0 46 2.0 Macro Forecast Expected Standard Return Deviation aset 0R) Z-bills B 0 Psive equity portfolio 20 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.) Stock A Stock B Stock Stock D X % Excess retur Alpha values Residual variances % b. 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 vour answer as decimals rounded to 4 places. b. 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.) Proportion in Active Portolio Proportion in Passive Index c. What is the Sharpe ratio for the optimal portfolio? (Do not round Intermediate calculations. Enter your answer 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 not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Improvement in 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 not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Improvement in Sharpe ratio 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 3.0? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills IM A 8 c D Total