23.The market model says that for any given stock I, R=a+bRm+e, where ay is a constant term, by is the market risk level of the stock and e is the level of the random non-systematic risk factor. This implies that if RM and E, are uncorrelated, the total (stand-alone) risk of stock I, is o2-b? Com?)+od. Assume that a = .05, b=1.2, o'=20 and 0?d12. What is the percentage of the systematic risk of the stock relative to its stand-alone risk? (a) 32.43% (b) 25.65% (c) 78.23% (d) 42.07% (e) 65.28%