Question: A Potfolio manager Summarizes the Input from the macro and Micro Forecasters in the following Table Micro Fore Casts Asset Expected return (%) Beta Residual

A Potfolio manager Summarizes the Input from the macro and Micro

A Potfolio manager Summarizes the Input from the macro and Micro Forecasters in the following Table Micro Fore Casts Asset Expected return (%) Beta Residual standard deviation 26 1.2 59 B. 21 1.9 72 19 0.8 61 14 D 1 54 ON Macro Fore casts Expected return (%) Standard deviation (%) 10 0 Asset T-Bills Passive Equity Portfolio 18 24 Calculate the following for a Portfolio manager who is not allowed to Short sell securities.if allowed to short sell securities the managers sharpe ratio is 0.3655 a) What is the Cost of Restriction in terms of sharpes measure ? (Do not round Intermediate calculations Enter Your answer as decimals rounded to 4 Places) b) What is the Utility Loss to Investor (A=3.4) given his new Complete Portfolio? (Do not round Intermediate calculations Enter Your answer as decimals rounded to 4 Places)

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