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

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A portfolio manager summarizes the input from the macro and micro forecasters in the following table Hicro Forecasts Asset Stock A Stock B Stock C Stock D Expected Return (8) 20 16 15 10 Beta 2.2 0.9 1.0 Residual Standard Deviation (N) 56 70 59 54 Macro Forecasts Asset T-bills Passive equity portfolio. Expected Standard Return Deviation (4) 0 6 14 27 Required: a. Calculate expected excess returns, alpha values, and residual variances for these stocks. b. Compute the proportion in the active portfolio and the passive index. 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 2.8? Complete this question by entering your answers in the tabs below. Required A Required B Calculate expected excess returns, alpha values, and residual variances for these stocks. Note: Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Required C Excess returns Alpha values Residual variances Stock A Required D % % Required E Stock B % % Stock C % Stock D Show less A Complete this question by entering your answers in the tabs below. Required A Required B Required C Required D Required E Compute the proportion in the active portfolio and the passive index.. Note: Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Proportion in Active Portolio Proportion in Passive Index Show less A Complete this question by entering your answers in the tabs below. Required A Required B Required c Required D Required E What is the Sharpe ratio for the optimal portfolio? Note: Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Sharpe ratio Required A Required B Required C By how much did the position in the active portfolio improve the Sharpe-ratio compared to a purely passive index strategy? Note: Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Improvement in Sharpe ratio Required D Required E Required A Required B Required C Required D 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 2.87 Note: Do not round intermediate calculations. Round your answers to 2 decimal places, Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Bills M A 8 D Total Final Positions % % % % Required E % % Show less A portfolio manager summarizes the input from the macro and micro forecasters in the following table Hicro Forecasts Asset Stock A Stock B Stock C Stock D Expected Return (8) 20 16 15 10 Beta 2.2 0.9 1.0 Residual Standard Deviation (N) 56 70 59 54 Macro Forecasts Asset T-bills Passive equity portfolio. Expected Standard Return Deviation (4) 0 6 14 27 Required: a. Calculate expected excess returns, alpha values, and residual variances for these stocks. b. Compute the proportion in the active portfolio and the passive index. 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 2.8? Complete this question by entering your answers in the tabs below. Required A Required B Calculate expected excess returns, alpha values, and residual variances for these stocks. Note: Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Required C Excess returns Alpha values Residual variances Stock A Required D % % Required E Stock B % % Stock C % Stock D Show less A Complete this question by entering your answers in the tabs below. Required A Required B Required C Required D Required E Compute the proportion in the active portfolio and the passive index.. Note: Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Proportion in Active Portolio Proportion in Passive Index Show less A Complete this question by entering your answers in the tabs below. Required A Required B Required c Required D Required E What is the Sharpe ratio for the optimal portfolio? Note: Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Sharpe ratio Required A Required B Required C By how much did the position in the active portfolio improve the Sharpe-ratio compared to a purely passive index strategy? Note: Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Improvement in Sharpe ratio Required D Required E Required A Required B Required C Required D 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 2.87 Note: Do not round intermediate calculations. Round your answers to 2 decimal places, Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Bills M A 8 D Total Final Positions % % % % Required E % % Show less

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a Calculation of Alpha for Each Stock Excess Return Calculation For stock A Excess Return 22 7 15 Si... View the full answer