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

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 the each stock to these K factors.
D) Calculate the expected returns using linear programming analysis.
E) All of the above are necessary steps for a multifactor risk model.