Let NJ(May) be new job openings (as a fraction of total jobs) in May and let RM (May) be the May return on the market portfolio. Suppose each individual cares about {E[Rp(May)], [Rp(May)], [Rp(May), NJ(May)]} when forming his/her portfolio p for May, and so a 2-factor model holds for May with NJ(May) as the only state variable. Recall that the excess return on any asset i is given by ri(t) = Ri(t) - Rt. The following additional information is available: i Bind BM 1.2 TQ 0.5 where B*im and B*i,nu are regression coefficients from a multiple regression (time-series) of the excess return on asset i, ri(t), on the market portfolio excess return, rm(t), and the excess return on the portfolio maximally correlated with NJ(t), rnu(t): ri(t) = a + Bim I'm(t) + Bi.NJ INJ(t) + e(t). and Rf, the riskless rate, is 0.5%. Also know that E[RM(May)] = 1.5%, E[NJ(May)] = 1.3% and E[RJ(May)] = 0.9%. What is E[RTO(May)]? O A. 1.4% B. 2.1% C. 1.9% D. 2.35% E. 2.25% Let NJ(May) be new job openings (as a fraction of total jobs) in May and let RM (May) be the May return on the market portfolio. Suppose each individual cares about {E[Rp(May)], [Rp(May)], [Rp(May), NJ(May)]} when forming his/her portfolio p for May, and so a 2-factor model holds for May with NJ(May) as the only state variable. Recall that the excess return on any asset i is given by ri(t) = Ri(t) - Rt. The following additional information is available: i Bind BM 1.2 TQ 0.5 where B*im and B*i,nu are regression coefficients from a multiple regression (time-series) of the excess return on asset i, ri(t), on the market portfolio excess return, rm(t), and the excess return on the portfolio maximally correlated with NJ(t), rnu(t): ri(t) = a + Bim I'm(t) + Bi.NJ INJ(t) + e(t). and Rf, the riskless rate, is 0.5%. Also know that E[RM(May)] = 1.5%, E[NJ(May)] = 1.3% and E[RJ(May)] = 0.9%. What is E[RTO(May)]? O A. 1.4% B. 2.1% C. 1.9% D. 2.35% E. 2.25%