(a) 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. (b) 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). (a) 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. (b) 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)