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

---

Definitions:

Quality

How well something ranks when measured against others in its category; its excellence measure.

Quantity

The amount or number of a material or immaterial thing.

Quality

Quality refers to the standard of something as measured against other things of a similar kind, or the degree of excellence of something.

Rocks Break

The physical process of rocks fracturing or cleaving under stress, leading to their breakage.