A method that attempts to attribute the return of a portfolio to several different factors is the method of
A) simple linear regression.
B) linear regression with a dummy variable.
C) quadratic programming.
D) multiple regression.

Question

Quizplus · Accepted Answer

Multiple regression is a statistical method that allows for the analysis of the relationship between a dependent variable (portfolio return) and several independent variables (factors). This helps to determine which factors have a significant impact on the portfolio return and allows for better portfolio management and risk control. Simple linear regression and linear regression with a dummy variable are less suitable as they only account for one or two independent variables respectively. Quadratic programming is a mathematical optimization technique that is not directly related to factors affecting a portfolio return.

A Method That Attempts to Attribute the Return of a Portfolio