Assume that security returns are generated by the single$-$index model,

Ri $=\backslash$alpha i $+\backslash$beta iRM $+$ ei

where Ri is the excess return for security i and RM is the market$$s excess return. The risk$-$free rate is $2\%.$ Suppose also that there are three securities A$,$ B$,$ and C$,$ characterized by the following data:

Security $\backslash$beta i E$($Ri$)\backslash$sigma $($ei$)$

A $0\mathrm{.}77\%20\%$

B $0\mathrm{.}996$

C $1\mathrm{.}11115$

a$.$ If $\backslash$sigma M $=16\%,$ calculate the variance of returns of securities A$,$ B$,$ and C$.$

b$.$ Now assume that there are an infinite number of assets with return characteristics identical to those of A$,$ B$,$ and C$,$ respectively. What will be the mean and variance of excess returns for securities A$,$ B$,$ and C$?($Enter the variance answers as a percent squared and mean as a percentage. Do not round intermediate calculations. Round your answers to the nearest whole number.$)$