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Suppose You Have 5-Year Annual Data on the Excess Returns

Question 19

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Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV) There is no relationship between the error and corresponding independent variables A) I and II only B) I, II and III only C) II, III and IV only D) I, II, III and IV is the return on fund ABC, Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV) There is no relationship between the error and corresponding independent variables A) I and II only B) I, II and III only C) II, III and IV only D) I, II, III and IV is the risk-free rate and Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV) There is no relationship between the error and corresponding independent variables A) I and II only B) I, II and III only C) II, III and IV only D) I, II, III and IV is the return on the market index) :
Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV) There is no relationship between the error and corresponding independent variables A) I and II only B) I, II and III only C) II, III and IV only D) I, II, III and IV
-The estimators Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV) There is no relationship between the error and corresponding independent variables A) I and II only B) I, II and III only C) II, III and IV only D) I, II, III and IV and Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV) There is no relationship between the error and corresponding independent variables A) I and II only B) I, II and III only C) II, III and IV only D) I, II, III and IV determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold?
(I) The errors have zero mean
(II) The variance of the errors is constant and finite over all values of the independent variable(s)
(III) The errors are linearly independent of one another
(IV) There is no relationship between the error and corresponding independent variables


A) I and II only
B) I, II and III only
C) II, III and IV only
D) I, II, III and IV

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