Assume that security returns are generated by the single index model Ri = i + i RM + i where Ri is the excess return for security and RM is the markets excess return. Suppose also that there are three securities A, B, and C characterized by the following data:

Security Beta Expected Return 2 (i)

A 0.7 0.10 0.06

B 0.9 0.11 0.02

C 1.1 0.15 0.10

If 2M =0.03 calculate the variance (e.g. the total risk) of returns of security B. (Write your answer in decimal form, with 4 digits after the comma).