You believe (correctly) that the market return explains all covariation among returns and you run a regression of Stock A's excess returns (in excess of the risk-free rate) on the market's excess return and stock B's excess returns on the market's excess return as well. You find: If the variance of the market is 0.02, the what is the portfolio variance of a portfolio that is invested 50% in stock A and 50% in stock B ? 0.0228 0.0213 0.0197 0.0161 0.0181