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

Question

Quizplus · Accepted Answer

For a single-index model, n(60), expected returns and n(60) sensitivity coefficients to the macroeconomic factor must be estimated.

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