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 standard deviation of the portfolio is 2.08.

b.

The portfolio has some diversification.

c.

The portfolio weight in asset A is -200%.

d.

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

e.

The correlation of asset A and Bs returns is 0.6.