. Which of the following problems will be encountered when we practically implement mean-variance analysis:

(1) To form an optimal portfolio among all risky assets, we would require millions of parameter estimates. (ii) When we use past data to estimate parameters, we have estimation error. Past data does not tell us exactly how risky assets behave, instead the past is only one possible outcome out of many.

(iii) The tangency portfolio is very sensitive to measurement error. Slight measurement error can lead to portfolios that are extremely long in some securities and extremely short in others. Even if such positions were practical, they are not likely the true optimal portfolio weights.

A. (i) and

B. (ii) and (iii)

C. (i) and (iii)

D. (i), (ii) and (iii)