Assume that security returns are generated by the single-index model, Ri = i + iRM + ei where Ri is the excess return for security i and RM is the markets excess return. The risk-free rate is 3%. Suppose also that there are three securities A, B, and C, characterized by the following data: Security i E(Ri) (ei) A 1.4 14% 23% B 1.6 16 14 C 1.8 18 17 Now assume that there are an infinite number of assets with return characteristics identical to those of A, B, and C, respectively. What will be the mean and variance of excess returns for securities A, B, and C? Mean Variance Security A 14 % ? Security B 16 ? Security C 18