A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock B Stock C Stock D Micro Forecasts Expected Residual Standard Return (%) Beta Deviation (%) 22 1.4 53 21 1.8 61 19 0.7 58 16 1.1 46 Macro Forecasts Expected Return Asset (%) T-bills 7 Passive equity portfolio 16 Standard Deviation (%) 20 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 15% 14 % 12 % 9 % Excess returns Alpha values Residual variances 2.4 % 5.71% (2.2) % 3,721 (0.9) % 2,116 2,809 3,364 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 0.2800 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 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 1.9? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills % | % A % B % % D % Total % A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock B Stock C Stock D Micro Forecasts Expected Residual Standard Return (%) Beta Deviation (%) 22 1.4 53 21 1.8 61 19 0.7 58 16 1.1 46 Macro Forecasts Expected Return Asset (%) T-bills 7 Passive equity portfolio 16 Standard Deviation (%) 20 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 15% 14 % 12 % 9 % Excess returns Alpha values Residual variances 2.4 % 5.71% (2.2) % 3,721 (0.9) % 2,116 2,809 3,364 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 0.2800 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 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 1.9? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills % | % A % B % % D % Total %