In the general form of a multi-index model, in which expected returns of a security, i, can be expressed as R, -a,+ bal +bel2+b/3/3 + - +1/+C what is the variance of a;? QUESTION 38 Solving the system of equations obtained from the constrained optimization problem to determine the efficient frontier with short sales and riskless lending or borrowing results in Z-values of: Z1-0.5. Z2-0.5, Z3-0.25 Security 1 has an expected return of 10% and a standard deviation of 49. Security 2 has an expected return of 15% and a standard deviation of 10%. Security 3 has an expected return of 209 and a standard deviation of 149 Calculate the expected return of the portfolio composed of the three assets. Assume the lending and borrowing rate is 5%. (Enter your answer as a number rounded to two decimal places without the percentage sign. For example enter 13.50646 as 13.51: Enter 0.17844 as 17.34)