Multiple Choice
Assume that stock market returns do follow a single-index structure.An investment fund analyzes 500 stocks in order to construct a mean-variance efficient portfolio constrained by 500 investments.They will need to calculate ________ estimates of firm-specific variances and ________ estimates for the variance of the macroeconomic factor.
A) 500;1
B) 500;500
C) 124,750;1
D) 124,750;500
E) 250,000;500
Correct Answer:
Verified
Correct Answer:
Verified
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