Consider d=4 assets whose returns Rj are modelled with Sharp's single-index model with zero interest rates, with Rj = +*RM +j, where RM is the market portfolio return, = 0.1 is the i's stock's alpha, or abnormal return, =0.3 is the i's stocks's beta, or responsiveness to the market return, and j are independent and normally distributed with mean zero and standard deviation =0.2, also independent of RM. We furthermore assume that the expected return of the market portfolio is M=0.3 and with standard deviation M=0.2. Note that we do not assume any further knowledge on the distribution of RM.

What is the variance of the returns of Asset 2? to 4 dp