Question
A portfolio management organization analyzes 56 stocks and constructs a mean-variance efficient portfolio using only these 56 securities. How many estimates of expected returns, variances,
A portfolio management organization analyzes 56 stocks and constructs a mean-variance efficient portfolio using only these 56 securities.
| How many estimates of expected returns, variances, and covariances are needed to optimize this portfolio? | |||||||||||
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b. If one could safely assume that stock market returns closely resemble a single-index structure, how many estimates would be needed?a. How many estimates of expected returns, variances, and covariances are needed to optimize this portfolio?
estimates =
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Currency Strategy The Practitioners Guide To Currency Investing Hedging And Forecasting
Authors: Callum Henderson
2nd Edition
0470027592, 978-0470027592
