please answer the question in the screenshot.

= Assume that security returns are generated by the single-index model, Ri = 0; + RM + ei where R; Is the excess return for security, and R Is the market's excess return. The risk-free rate is 2%. Suppose also that there are three securities A, B, and characterized by the following data: Security & E(R1) (ez) A 1.1 10% 19% B 1.3 12 10 C 1.5 14 13 a. If om = 14%, calculate the variance of returns of securities A, B, and C. = Answer is complete but not entirely correct. Variance Security A 6 Security B 4 Security C 6