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Assume that stock market returns do follow a single-index structure. An investmen fund analyzes 175 stocks in order to construct a mean-variance efficient portfolio constrained
Assume that stock market returns do follow a single-index structure. An investmen fund analyzes 175 stocks in order to construct a mean-variance efficient portfolio constrained by 175 investments. Consider the following statements. I. The fund will need to estimate 175 sensitivities of stock excess returns to the market excess return. II. The total number of estimates needed is 525 . Which of the following is correct? a. Statements I and II are both incorrect. b. Statement I is correct, Statement II is incorrect. c. Statement I is incorrect, Statement II is correct. d. Statements I and II are both correct
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