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

question 22

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
• E) none of these

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Definitions:

Times Interest Earned

A ratio that measures a company's ability to meet its interest payments on outstanding debt.