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? a. The correlation of asset A and B's returns is 0.75. b. The asset A can be a real estate asset. c. The portfolio weight in asset A is -400%. d. The portfolio has some diversification. e. The variance of the portfolio is 2.81