Assume that security returns are generated by the single index model (To be used for question 3): R- B.Rates Where Ri is the excess return for security i and R 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 A B c Beta Los 1.0 Expected return | 10% 12% 40% GB 25% | 10% 20% 1 1 4A. (9 points) If .-20%, calculate the total variance of returns of securities A, B, and C. 4B. (5 points) Now assume that there are an infinite number of assets with return characteristics identical to those of security A. If one forms well diversified portfolios of type A securities, what will be the mean and variance of the portfolios excess returns? Assume that security returns are generated by the single index model (To be used for question 3): R- B.Rates Where Ri is the excess return for security i and R 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 A B c Beta Los 1.0 Expected return | 10% 12% 40% GB 25% | 10% 20% 1 1 4A. (9 points) If .-20%, calculate the total variance of returns of securities A, B, and C. 4B. (5 points) Now assume that there are an infinite number of assets with return characteristics identical to those of security A. If one forms well diversified portfolios of type A securities, what will be the mean and variance of the portfolios excess returns