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 are correct.
B. 217; 217
For a single-index model, n(217), expected returns and n(217) sensitivity coefficients to the macroeconomic factor must be estimated.
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