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 217 stocks in order to construct a mean-variance efficient portfolio constrained by 217 investments.They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.

A) 217; 47,089
B) 217; 217
C) 47,089; 217
D) 47,089; 47,089
E) None of the options