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) 80,80

Question

Quizplus · Accepted Answer

The fund needs to calculate one expected return and one variance for each of the 40 stocks, resulting in 40 expected returns and 40 variances.

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