Intro Suppose that the excess return for all securities can be described by a single index model: R; = 0; + BiRm + e The standard deviation of the market portfolio is 18%. Data for securities A, B and C are presented in the table below: Security Bi E(R) (e;) A 0.6 8% 21% B 1.1 15% 15% C 1.6 13% 10% Part 1 - Attempt 1/10 for 9 pts. Suppose that an investor forms a well-diversified portfolio of type A securities. What would be the variance of the portfolio's excess return, assuming there is an infinite number of securities with return characteristics which are identical to the characteristics of security A? | A+ decimals Submit