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

question 30

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

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Definitions:

External Audit

An independent examination of financial records and statements by an outside firm or body to ensure accuracy and compliance with accounting standards and regulations.

Portfolio Analysis

The evaluation of investment assets, or a collection of projects, to make strategic decisions based on performance and risk.

Balanced Scorecard

A strategic planning and management system used to align business activities to the vision and strategy of the organization, improve internal and external communications, and monitor organization performance against strategic goals.

Stakeholder Analysis

A process of identifying and assessing the interests and influence of people or groups that have a stake in a project or organization's success.