I am not sure if part A is correct. But i would like...
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I am not sure if part A is correct.
But i would like help with parts b,c,d,e.
Thank you!
A portfolio manager summarizes the input from the macro and micro forecasters in the following table Micro Forecasts Residual Standard Deviation (%) Expected Asset Return(%) Beta Stock A Stock B Stock C Stock D 27 12 0.8 1.2 59 69 54 Macro Forecasts Expected Standard Return Deviation Asset T-bills Passive equity portfolio 12 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 A Stock B Stock C Stock D 6 % Excess returns Alpha values Residual variances 211% 5%; 31% 15.71% 2.01% (0.61% 3,481 4,761 3,844 2,916 b. Compute the proportion in the optimal risky portfolio. (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) Proportion
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