Which of the Following Is Not a Step Required for a Multifactor

question 10

Multiple Choice

Which of the following is not a step required for a multifactor risk model to estimate expected return for an individual stock position?

• A) identify a set of K common risk factors
• B) estimate the risk premia for the factors
• C) estimate the sensitivities of each stock to these K factors
• D) calculate the expected returns using linear programming analysis
• E) All of these are correct.

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