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 0.02 0.4 0.12 0.08 B 0.06 0.8

Which one of the following statements is NOT correct?

a. The portfolio has no diversification at all since the covariance between two assets is positive.

b. The asset A could represent a share or a bond.

c. The standard deviation of the portfolio is 1.14.

d. The portfolio weight in asset A is -50%.

e. The correlation of asset A and Bs returns is 0.375.