An investor has a portfolio of two assets A and B. The details are shown in the below table. Portfolio Details Expected Standard Expected Asset Covariance (A, B) return deviation Portfolio Return . 0.05 0.4 0.15 0.1 B 0.06 0.5 Which one of the following statements is NOT correct? O a. The correlation of asset A and B's returns is 0.75. O b. The variance of the portfolio is 2.81. O c. The portfolio weight in asset A is -400%. O d. The asset A can be a real estate asset. e. The portfolio has some diversification