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

Multiple Choice

Assume that stock market returns do follow a single-index structure. An investment fund analyzes 60 stocks in order to construct a mean-variance efficient portfolio constrained by 60 investments. They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.

A) 200; 19,900
B) 200; 200
C) 60; 60
D) 19,900; 19.900
E) None of the options are correct.