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

question 54

Multiple Choice

Assume that stock market returns do follow a single-index structure. An investment fund analyzes 217 stocks in order to construct a mean-variance efficient portfolio constrained by 217 investments. They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.

• A) 217; 47,089
• B) 217; 217
• C) 47,089; 217
• D) 47,089; 47,089
• E) None of the options are correct.

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