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 200 stocks in order to construct a mean-variance efficient portfolio constrained by 200 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) 19,900;200
D) 19,900;19.900
E) none of these