Market returns do not resemble single-index structure

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Assume that stock market returns do not resemble a single-index structure. (a) Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 2,000 stocks in order to construct a mean-variance efficient portfolio constrained by 2,000 investments. They will need to calculate (N) ____ expected returns, (N)___________ variances of returns and ________ covariances.

Assume that stock market returns do follow a single-index structure. An investment fund analyzes 2,000 stocks in order to construct a mean-variance efficient portfolio constrained by 2,000 investments. They will need to calculate (N)________ estimates of expected returns and (N)________ estimates of sensitivity coefficients to the market factor (betas).

Reference no: EM131324811

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