Question
A portfolio management organization analyzes 60 stocks and constructs a mean-variance ecient portfolio using only these 60 securities. a. How many estimates of expected returns,
A portfolio management organization analyzes 60 stocks and constructs a mean-variance ecient portfolio using only these 60 securities.
a. How many estimates of expected returns, variances, and covariances are needed to optimize this portfolio?
b. If one could safely assume that stock market returns closely resemble a single-index structure, how many estimates would be needed?
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The Oxford Guide To Financial Modeling
Authors: Thomas S Y Ho, Sang Bin Lee
1st Edition
019516962X, 9780195169621
