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.

---

Definitions:

Positive Deviation

An instance where performance or results exceed the expected standards or averages, often interpreted as an improvement or success.

SWOT Analysis

A strategic planning technique used to identify an organization's Strengths, Weaknesses, Opportunities, and Threats.

Statistical Linear Trend Analysis

A technique used in statistics to model and analyze the relationship between variables and a continuous outcome over time.

Strategic Marketing Process

The approach a company takes to plan and execute marketing activities to reach their target audience and achieve competitive advantage.