According to Sharpe's single index model, for each stock i, we have: R; = Alpha; + Beta; * RM + e, where Alpha; and Beta; are two constant coefficients specific to stock i, while R; is the return of stock i, RM is the return of the market portfolio, and e, is the part of the return of stock i which cannot be explained by the return of the market. If we know that, for the stock A, we have: Variance(RA) = 0.09, Betaa = 2, Variance(ei) = 0.01. What is the value of Variance(RM)? Select one: a. 0.02 O b.0.03 C. 0.01 d. 0.04