NO.PZ202403050400000306
问题如下：
According to the data in Exhibit 2, the expected return for the Japan sector portfolio is closest to:
选项：
A.11.2%.
B.11.7%.
C.14.7%.
解释：
A is incorrect because it does not include the risk-free rate.
B is correct. The three-factor model is described in the following equation: E(RP) = βROE + βMKT + βINV + Rf So, (0.9 × 0.031) + (0.88 × 0.05) + (0.6 × 0.066) + 0.5 = 0.1165 or 11.7%.
C is incorrect because it simply sums up the factor values.
最后的0.5是哪里来的，5%不是等于0.05吗
