The Index Model for Stock B Has Been Estimated with the Following

Multiple Choice

The index model for stock B has been estimated with the following result: R_B = 0.01 + 1.1R_M + e_B.
If $\sigma$ _M = 0.20 andR²_B = 0.50, the standard deviation of the return on stock B is

A) 0.1111.
B) 0.2111.
C) 0.3111.
D) 0.4111.