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	1.4	14	%	23	%
B	1.6	16		14
C	1.8	18		17

a. If _M = 22%, calculate the variance of returns of securities A, B, and C.