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

A. Already completed

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?

D. By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy?

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?

Micro Forecasts Residual Standard Deviation Expected Return (%) 22 Beta (%) 1.4 38 19 1.9 61 Asset Stock A Stock B Stock Stock D 18 0.8 50 13 1.0 45 Macro Forecasts Expected Asset Return (%) T-bills 8 Passive equity 17 portfolio Standard Deviation (%) 0 24 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.) Excess returns Alpha values Residual variances Stock A 14 % 1.41% Stock B 11 % (6.1) % 3,721 Stock C 10% 2.8% 2,500 Stock D 4 % (4.0) % 2,025 1,444 Proportion in Active Portolio Proportion in Passive Index Final Positions % Bills M % % % B % D % Total % Micro Forecasts Residual Standard Deviation Expected Return (%) 22 Beta (%) 1.4 38 19 1.9 61 Asset Stock A Stock B Stock Stock D 18 0.8 50 13 1.0 45 Macro Forecasts Expected Asset Return (%) T-bills 8 Passive equity 17 portfolio Standard Deviation (%) 0 24 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.) Excess returns Alpha values Residual variances Stock A 14 % 1.41% Stock B 11 % (6.1) % 3,721 Stock C 10% 2.8% 2,500 Stock D 4 % (4.0) % 2,025 1,444 Proportion in Active Portolio Proportion in Passive Index Final Positions % Bills M % % % B % D % Total %