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

question 58

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
• E) None of the options are correct.

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Definitions:

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The state or quality of being unlike or different in nature, form, or quality.

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The degree to which something is related or useful to the matter at hand.

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