A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock 8 Stock C Stock D Micro Forecasts Expected Residual Standard Return (%) Beta Deviation (%) 22 0.9 52 11 1.5 60 10 0.6 54 8 0.7 49 Macro Forecasts Expected Return Asset T-bills 7 Passive equity portfolio 10 Standard Deviation (%) 21 a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indice a minus sign. Do not round Intermediate calculations. Round "Alpho values" to 1 decimal place.) 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 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 coefficient of risk aversion of 2.6? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills M % % B % % D Total A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock 8 Stock C Stock D Micro Forecasts Expected Residual Standard Return (%) Beta Deviation (%) 22 0.9 52 11 1.5 60 10 0.6 54 8 0.7 49 Macro Forecasts Expected Return Asset T-bills 7 Passive equity portfolio 10 Standard Deviation (%) 21 a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indice a minus sign. Do not round Intermediate calculations. Round "Alpho values" to 1 decimal place.) 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 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 coefficient of risk aversion of 2.6? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills M % % B % % D Total