Question: A portfolio management organization analyzes 60 stocks and constructs a mean-variance efficient 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 efficient 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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a To optimize this portfolio one would need n 60 estimates of means n 60 estimates of variance... View full answer

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