An index model has been estimated for Stocks A and B, with the following results: RA= 0.01 + 0.8RM+ eA RB= 0.02 + 1.2RM+ eB M= 0.20 (eA) = 0.23 (eB) = 0.10 Which of the following assets has the highest total volatility?

a) Stock A

b) Stock B

c) An equal-weighted portfolio of A and B

d) The market index (M)

e) Cannot be determined from the information provided