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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 25 1.6 50 Stock B 2.2 58 Stock C 21 1.4 Stock D 16 1.5 22 55 Macro Forecasts Expected Standard Return Deviation Asset (%) (%) T-bills 12 Passive equity portfolio 30 0 18 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 3.7? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills M 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 25 1.6 50 Stock B 2.2 58 Stock C 21 1.4 Stock D 16 1.5 22 55 Macro Forecasts Expected Standard Return Deviation Asset (%) (%) T-bills 12 Passive equity portfolio 30 0 18 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 3.7? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Final Positions Bills M Total

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