Assume that security returns are generated by the single-index model, where Ris the excess return for security , and RM is the market's excess retum. The risk-free rate is 2%. Suppose also that there are three securities A, B, and C, characterized by the following data: 0.8 10% 12 14 25% 1.2 20 a. If M-20%, calculate the variance of retums of securities A, B, and C. (Do not round intermediate calculations. Round your answers to the nearest whole number.) 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 C, 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. Omit the "96" sign in your response.) ean Variance Security A Security B Security C