A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Expected Standard Asset Return (%) Beta Deviation (%) Stock A 23 1.8 57 Stock B 20 2.0 71 Stock C 19 1.1 62 Stock D 15 1.3 51 Macro Forecasts Expected Standard Return Deviation Asset (%) T-bills 12 0 Passive equity portfolio 18 30 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 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 2.1? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills % M % % A B % C % D % Total % A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Expected Standard Asset Return (%) Beta Deviation (%) Stock A 23 1.8 57 Stock B 20 2.0 71 Stock C 19 1.1 62 Stock D 15 1.3 51 Macro Forecasts Expected Standard Return Deviation Asset (%) T-bills 12 0 Passive equity portfolio 18 30 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 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 2.1? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills % M % % A B % C % D % Total %