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:

Capital Goods

Long-term physical assets utilized by businesses to produce goods and services.

Single Tax

A tax system with only one type of tax, often proposed to simplify the tax structure and eliminate inefficiencies.

Henry George

A 19th-century economist known for his advocacy for a single tax on land value to improve social and economic inequalities.

Land

In economics, land comprises all naturally occurring resources whose supply is inherently fixed.