Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 40 stocks in order to construct a mean-variance efficient portfolio constrained by 40 investments.They will need to calculate _____________ expected returns and ___________ variances of returns.
A)100; 100
B)40; 40
C)4950; 100
D)4950; 4950
E)None of the options

Question

Quizplus · Accepted Answer

The expected returns of each of the 40 securities must be calculated.In addition, the 40 variances around these returns must be calculated.

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