单选题 According to the Markowitz model of portfolio risk, any portfolio with 10 securities would require estimation of a total of: A. 10 variance and 45 unique covariance statistics. B. 100 unique variance or covariance statistics. C. 50 unique variance or covariance statistics.

【正确答案】 A

【答案解析】There are 10 × 10 = 100 possible pairs of securities ( including each security with itself). 10 of these combinations are variances. The other 90 are covariances. However, half these covariances are redundant since Cov(AB) =Cov(BA). This results in 45 unique covariance terms.