A portfolio manager summarizes the input from the macro and micro forecasters in the following table
Calculate the following for a portfolio manager who is nor allowed to short sell securities
A. What is the cost of the restriction in terms of Sharpes measure? do not round enter to 4 decimal
B. What is the utility loss to the investor (A=3.1) given his new portfolio? round to 2 decimals
Cases Utility levels%
Unconstrained
Constrained
Passive
Micro forecasts
Asset Expected return % Beta Residual standard deviation %
Stock A. 24 0.7 57
Stock B 14 1.1 71
Stock C 12 0.5 63
Stock D 10 0.6 52
Macro forecasts
T bills. 7 0
Passive equity portfolio. 14 25
THERE ARE NO PERCENTAGES LISTED FOR THE PROBLEM,