Assume that security returns are generated by the single-index model, R_i = _i + _iR_M + e_i where R_i is the excess return for security i and R_M 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	1.2	11	%	20	%
B	1.3	12		11
C	1.4	13		14

a. If _M = 16%, calculate the variance of returns of securities A, B, and C.

	Variance
Security A
Security B
Security C