Assume that stock market returns do follow a single-index structure.An investment fund analyzes 217 stocks in order to construct a mean-variance efficient portfolio constrained by 217 investments.They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.
A)217; 47,089
B)217; 217
C)47,089; 217
D)47,089; 47,089
E)None of the options

Question

Quizplus · Accepted Answer

For a single-index model, n(217), expected returns and n(217) sensitivity coefficients to the macroeconomic factor must be estimated.

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