Assume That Stock Market Returns Do Follow a Single-Index Structure

question 71

Multiple Choice

Assume that stock market returns do follow a single-index structure.An investment fund analyzes 125 stocks in order to construct a mean-variance efficient portfolio constrained by 125 investments.They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.

• A)125; 15,225
• B)15,625; 125
• C)7,750; 125
• D)125; 125
• E)none of the above

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Definitions:

Deferred Tax Liabilities

Future tax payments that result from temporary differences between the accounting and tax bases of assets and liabilities.

Tax Rates

The percentages at which income, sales, or other taxable activities are taxed by governments.

AASB 112

Australian Accounting Standard Board statement number 112, concerning income taxes, requiring entities to account for taxes based on the concept of comprehensive tax balance sheets.