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A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Residual Standard Deviation (%) Asset Stock A 58 Stock B 71 60 Stock C Stock D 55 Expected Return Asset (*) T-bills 8 Passive equity portfolio 16 28 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.) Expected Return (%) Beta 21 1.4 18 2.3 17 0.9 12 1.0 Macro Forecasts Standard Deviation (3) e Answer is not complete. Stock A Stock B Stock C Excess returns 13 % 10% 90 % Stock D 4 (4.0) % % Alpha values 1.8 % (8.4) % 1.8 % Residual variances 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.) Proportion in Active Portolio Proportion in Passive Index c. What is the Sharpe ratio for the optimal portfolio? (Do not round intermediate calculations. Enter your answer 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 answer as decimals rounded to 4 places.) Improvement in Sharpe ratio. 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 2.9? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills 1% M A B C D Total % % % % % %