What is cost of the restriction in terms of sharpes measure

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Reference no: EM131873189

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,

Reference no: EM131873189

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