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 ____________ covariances.
A) 12
B) 150
C) 22,500
D) 11,175
E) 300

Question

Quizplus · Accepted Answer

To calculate the covariances for 150 stocks, you use the formula n(n-1)/2, where n is the number of stocks. So, 150(150-1)/2 = 11,175 covariances.

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