The multifactor extension of the single-factor CAPM, the ICAPM, predicts the same multidimensional security market line as the multifactor APT. The ICAPM suggests that priced extra-market risk factors will be the ones that lead to significant hedging demand by a substantial fraction of investors. Other approaches to the multifactor APT are more empirically based, where the extramarket factors are selected based on past ability to predict risk premiums.

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