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Suppose that the excess return for all securities can be described by a single index model: Ri=ai+iRm+ei The standard deviation of the market portfolio is 18%. Data for securities A, B and C are presented in the table below: Part 1 Attempt 2/10 for 7.5pts. What is the variance of returns on security B ? Part 2 Attempt 1/10 for 10 pts. Suppose that an investor forms a well-diversified portfolio of type A securities. What would be the variance of the portfolio's excess return, assuming there is an infinite number of securities with return characteristics which are identical to the characteristics of security A