According to Sharpe's single index model, for each stock i, we have: Ri = Alphai + Betai * RM + ei, where Alphai and Betai are two constant coefficients specific to stock i, while Ri is the return of stock i, RM is the return of the market portfolio, and ei is the part of the return of stock i which cannot be explained by the return of the market. If we know that, for the stock A, we have: Variance(RA) = 0.09, BetaA = 2, Variance(ei) = 0.01. What is the value of Variance(RM)? Select one: a. 0.02 b. 0.01 c. 0.04 d. 0.03