Question: Assume that security returns are gerierated by the single-index model. II1+a1b1l=F1 Where if is the excess refurn for security iand as is the markot's excess

Assume that security returns are gerierated by the single-index model. II1+a1b1l=F1 Where if is the excess refurn for security iand as is the markot's excess return. The fisk-free rate is 2 . 5upposeatsothatt three securities A, B, and C, characterized by the following data. t. Now absime that theie ace no infirme numbet of assets with ceturn charecteristics identical to thote of A 2 and C. ievectivel) and mean as a percenteger, Da not round intermedste catcutations. Pound your answert to the neareit wholo nimber? a. If ON=24x, 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.)

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