A portfolio manager summarizes the input from the macro and micro forecasters in the following table:

Micro Forecasts

Asset Expected Return (%) Beta Residual Standard

Deviation (%)

Stock A 30 1.6 42

Stock B 23 2.1 63

Stock C 22 0.9 52

Stock D 17 1.0 47

Macro Forecasts

Asset Expected Return (%) Standard Deviation (%)

T-bills 8 0

Passive equity portfolio 21 26

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.)

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.)

c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.)

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.)

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 3.1? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

Note ( i also put rhe answer in the negative and also wrong )

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 volues" to 1 decimal place) Answer is complete but not entirely correct. Stock Stock B Stock C 221% 15% 14 12% (123) 23 1.764 3.969 2704 Excess returns Alpha values Residual variances Stock D 93 (40) 2209 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 os decimals rounded to 4 places.) Answer is complete but not entirely correct. 0.1517 Proportion in Active Portolio Proportion in Passive Index 1.1514 X c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer os decimals rounded to 4 places.) Answer is complete but not entirely correct. Sharpe ratio (05640) 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 os decimals rounded to 4 places.) Answer is complete and correct. Improvement in Sharpe ratio 0.0460 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 3.1? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Answer is complete but not entirely correct. Bals M B Final Positions 28.01% 82 89% 2.19% 10.00 % 2.74% 5.84 % 100.00 % D Total 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 volues" to 1 decimal place) Answer is complete but not entirely correct. Stock Stock B Stock C 221% 15% 14 12% (123) 23 1.764 3.969 2704 Excess returns Alpha values Residual variances Stock D 93 (40) 2209 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 os decimals rounded to 4 places.) Answer is complete but not entirely correct. 0.1517 Proportion in Active Portolio Proportion in Passive Index 1.1514 X c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer os decimals rounded to 4 places.) Answer is complete but not entirely correct. Sharpe ratio (05640) 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 os decimals rounded to 4 places.) Answer is complete and correct. Improvement in Sharpe ratio 0.0460 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 3.1? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Answer is complete but not entirely correct. Bals M B Final Positions 28.01% 82 89% 2.19% 10.00 % 2.74% 5.84 % 100.00 % D Total