Multiple Choice
Assume that stock market returns do follow a single-index structure. An investment fund analyzes 175 stocks in order to construct a mean-variance efficient portfolio constrained by 175 investments. They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.
A) 175; 15,225
B) 175; 175
C) 15,225; 175
D) 15,225; 15,225
Correct Answer:
Verified
Correct Answer:
Verified
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