A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Asset Stock Al Stock B Stock C Stock D Expected Return (N) Beta Deviation (%) 1.3 1.6 1.1 1.2 21 18 17 10 Residual Standard Asset T-bills Passive equity portfolio 52 62 58 se Macro Forecasts Expected Return (%) 6 15 Standard Deviation (%) 0 25 Calculate the following for a portfolio manager who is not allowed to short sell securities. If allowed to short sell securities, the manager's Sharpe ratio is 0.3924. a. What is the cost of the restriction in terms of Sharpe's measure? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.)
A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Asset Stock Al Stock B Stock C Stock D Expected Return (N) Beta Deviation (%) 1.3 1.6 1.1 1.2 21 18 17 10 Residual Standard Asset T-bills Passive equity portfolio 52 62 58 se Macro Forecasts Expected Return (%) 6 15 Standard Deviation (%) 0 25 Calculate the following for a portfolio manager who is not allowed to short sell securities. If allowed to short sell securities, the manager's Sharpe ratio is 0.3924. a. What is the cost of the restriction in terms of Sharpe's measure? (Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.)
Chapter6: Risk And Return
Section: Chapter Questions
Problem 1Q
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