Assume That Stock Market Returns Do Follow a Single-Index Structure

question 27

Multiple Choice

Assume that stock market returns do follow a single-index structure.An investment fund analyzes 60 stocks in order to construct a mean-variance efficient portfolio constrained by 60 investments.They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.

• A)200; 19,900
• B)200; 200
• C)60; 60
• D)19,900; 19.900

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Definitions:

Form of Capital

Various types of economic resources used by businesses to fund and operate their activities, including financial, social, or physical assets.

Technology

The use of scientific understanding to achieve practical goals, particularly within industrial sectors.

Factors of Production

The resources used in the production of goods and services, traditionally classified into land, labor, capital, and sometimes entrepreneurship.