Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 150 stocks in order to construct a mean-variance efficient portfolio constrained by 150 investments.They will need to calculate _____________ expected returns and ___________ variances of returns.
A)150, 150
B)150, 22500
C)22500, 150
D)22500, 22500
E)none of the above

Question

Quizplus · Accepted Answer

The fund needs to calculate 150 expected returns, one for each stock, and 150 variances, one for each stock's return.

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