What is the cost of the restriction in terms of sharpes

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Reference no: EM131912994

Reference no: EM131912994

Assignment Help Financial Management

A portfolio manager summarizes the input from the macro and micro forecasters in the following table:

Macro Forecasts
Asset	Expected Return (%)		Beta	Residual Standard Deviation (%)
Stock A		21	1.1		60
Stock B		14	1.5		72
Stock C		12	0.6		63
Stock D		10	0.9		53

Calculate the following for a portfolio manager who is not allowed to short sell securities.

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.

Cost of restriction _______??

b. What is the utility loss to the investor (A = 2.6) given his new complete portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.)

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What is the cost of the restriction in terms of sharpes : What is the utility loss to the investor (A = 2.6) given his new complete portfolio?What is the cost of the restriction in terms of Sharpe's measure?

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Macro Forecasts

Expected Return (%)

Standard Deviation (%)

Passive equity portfolio