Assume That Stock Market Returns Do Not Resemble a Single-Index

question 88

Multiple Choice

Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments.They will need to calculate _____________ expected returns and ___________ variances of returns.

• A) 100,100
• B) 100,4950
• C) 4950,100
• D) 4950,4950
• E) none of these

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