Which memory holds the copy of the program that is to be executed?
It's the RAM. 

But further, in order to enhance speed, the CACHE stores a shadow of the RAM content, so it may hold a copy of the program as well (similarly, the RAM has a copy of the program that previously was stored on the hard-drive). 

Eventually, parts of the code goes into the CPU and gets stored in one of its registers (not the general purpose ones, but rather some designated registers you have no access to; just think about them as flip-flops). From that point, the program is being executed, one instruction at a time, by the CPU hardware.