Assume That Stock Market Returns Do Not Resemble a Single-Index

Multiple Choice

Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 40 stocks in order to construct a mean-variance efficient portfolio constrained by 40 investments.They will need to calculate _____________ expected returns and ___________ variances of returns.

A) 100; 100
B) 40; 40
C) 4950; 100
D) 4950; 4950
E) None of the options