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

question 15

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

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