Given a portfolio of 95 shares,what is the total number (variances and covariances) of estimates using the Sharpe's (1963) simple model of asset returns?

Name: Given a portfolio of 95 shares,what is the total number (variances and covariances)of estimates using the Sharpe's (1963)simple model of asset returns?
Brand: Quizplus
Rating: 4.8 (52 reviews)

Question

Given a portfolio of 95 shares,what is the total number (variances and covariances)of estimates using the Sharpe's (1963)simple model of asset returns?

Quizplus · Accepted Answer

The Sharpe diagonal approach requires (3 F1F1F1S1F1F1F10 N)+ 2 estimates.Hence,for a 95-asset portfolio,we require 287 estimations.

Given a Portfolio of 95 Shares,what Is the Total Number