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An investor has a portfolio of two assets A and B. The details are shown in the below table. Portfolio Details Asset Expected return Standard

An investor has a portfolio of two assets A and B. The details are shown in the below table.

Portfolio Details

Asset

Expected return

Standard deviation

Covariance (A, B)

Expected

Portfolio Return

A

0.03

0.5

0.18

0.06

B

0.04

0.6

Which one of the following statements is NOT correct?

a.

The portfolio has some diversification.

b.

The investor can benefit from a fall in the price of asset A.

c.

The standard deviation of the portfolio is 2.08.

d.

The correlation of asset A and Bs returns is 0.6.

e.

The portfolio weight in asset A is -200%.

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