Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 125 stocks in order to construct a mean-variance efficient portfolio constrained by 125 investments.They will need to calculate _____________ expected returns and ___________ variances of returns.
A)125; 125
B)125; 15,625
C)15,625; 125
D)15,625; 15,625

Question

Quizplus · Accepted Answer

The fund needs to calculate the expected return for each of the 125 stocks, so 125 expected returns. Variances are calculated for each stock, so 125 variances.

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