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 A 0.02 0.4 0.12 0.08 B 0.06 0.8 Which one of the following statements is NOT correct? O a. The portfolio has no diversification at all since the covariance between two assets is positive. O b. The correlation of asset A and B's returns is 0.375. O c. The asset A could represent a share or a bond. Od. The standard deviation of the portfolio is 1.14. Oe. The portfolio weight in asset A is -50%