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

question 14

Multiple Choice

Assume that stock market returns do follow a single-index structure. An investment fund analyzes 200 stocks in order to construct a mean-variance efficient portfolio constrained by 200 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) 19,900; 200
• D) 19,900; 19.900

Learn about the implications of not following a single-index structure in portfolio construction.

Understand the impact of market structure assumptions on the estimation of portfolio risk.

Understand the principles and methodologies for foreign currency translation related to financial statements.

Identify the differences between functional currency, presentation currency, and their implications for financial reporting.

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Definitions:

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The prevailing cosmological model explaining the early development of the Universe, suggesting it expanded from a singularly hot and dense point about 13.8 billion years ago.