Asset A has an expected return of 10% while asset B has an expected return of 15%. The standard deviation of their returns are 30% and 45%, respectively. If you can combine these two assets to create a risk- free portfolio, then which of the following is a necessary condition: O a. Covariance of their returns equals 0 Correlation coefficient of their returns equals 0 Covariance of their returns equals -0.135 O c. Both assets have negative market beta O d. O e. Covariance of their returns equals -1