Intro Suppose that the excess return for all securities can be described by a single index model: R = a + B Rm + 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) 0(e) A 0.6 10% 28% B 1.2 13% 15% 1.5 13% 10% Attempt 1/10 for 10 pts. Part 1 What is the variance of returns on security B? 3+ decimals Submit Part 2 Attempt 1/10 for 10 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? 4+ decimals Submit