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 0.05 0.4 0.15 B 0.06 0.5 0.1 Which one of the following statements is NOT correct? a. The asset A can be a real estate asset. O b. The variance of the portfolio is 2.81. O c The correlation of asset A and B's returns is 0.75. O d. The portfolio has some diversification. Oe. The portfolio weight in asset Ais -400%