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

question 76

Multiple Choice

Assume that stock market returns do follow a single-index structure.An investment fund analyzes 175 stocks in order to construct a mean-variance efficient portfolio constrained by 175 investments.They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.

• A)175; 15,225
• B)175; 175
• C)15,225; 175
• D)15,225; 15,225
• E)none of the above

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