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 standard deviation of the portfolio is 1.14. b. The portfolio weight in asset A is -50%. c. The asset A could represent a share or a bond. d. The correlation of asset A and Bs returns is 0.375. e. The portfolio has no diversification at all since the covariance between two assets is positive

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 standard deviation of the portfolio is 1.14.

b.

The portfolio weight in asset A is -50%.

c.

The asset A could represent a share or a bond.

d.

The correlation of asset A and Bs returns is 0.375.

e.

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