A portfolio manager summarizes the input from the macro and micro forecasters in the following table: (see image ) 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.) 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 3.2? (Do not round intermediate calculations. Round your answers to 2 decimal places.) final positions bills M A B C D TOTAL
A portfolio manager summarizes the input from the macro and micro forecasters in the following table: (see image ) 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.) 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 3.2? (Do not round intermediate calculations. Round your answers to 2 decimal places.) final positions bills M A B C D TOTAL
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
A
(see image )
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.)
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 3.2? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
| final positions | |
| bills | |
| M | |
| A | |
| B | |
| C | |
| D | |
| TOTAL |
Transcribed Image Text:Micro Forecasts
Expected
Return (%) Beta
Residual Standard
Asset
Deviation (%)
Stock A
21
1.3
52
Stock B
18
1.6
62
Stock C
17
1.1
58
Stock D
10
1.2
50
Macro Forecasts
Expected
Standard
Return
Deviation
Asset
(%)
(%)
T-bills
6
Passive equity portfolio
15
25
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