Check my work 10 A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Expected Standard Asset Return (8) Beta Deviation (%) Stock A 22 1.4 53 Stock B 1.8 61 Stock C 19 0.7 58 Stock D 16 1.1 46 oints 21 eBook Print References Macro Forecasts Expected Standard Return Deviation Asset T-bills 7 0 0 Passive equity portfolio 16 20 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 C Stock D Stock A 15% 2.4% Excess returns Alpha values Residual variances Stock B 14 % (2.2) % 91% 12% 5.7% (0.1) % 0 0 01 0 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 0.4500 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 WOIR u. Dy TUV MUCI UU nie poSILIONI 1 Lie acuve portion prove ule III pe Iau cumpaieulu a puiely passive mue Su aleyy: 1 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 1.9? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills % M % A % B % % D % Total %