Assume that security returns are generated by the single index R; - a1 + RM + ei return where R is the excess return for security / and Ry is the three securities A, B, and C, characterized by the following data The risk-free rate is 4%. Suppose also that there are Security Bi E(R) olej) A 0.8 15 24% B 1.1 18 15 C 1.4 21 18 a. If om = 20%, calculate the variance ces Variance Security A Security B Security C b. Now assume that there are an infinite number of assets with return characteristics identical to those of A B, and respectively What will be the mean and variance of excess returns for securities A, B and C? (Enter the variance answers as a percent squared and mean as a percentage. Do not round intermediate calculations. Round your answers to the nearest whole number.). Mean Variance % Security A Security B T