Given the following information about two assets:

Expected Return of Asset 1 12.00%

Standard Deviation of Asset 1 8.00%

Expected Return of Asset 2 16.00%

Standard Deviation of Asset 2 15.00%

The standard deviation of a two-asset portfolio consisting of these two assets may be zero if the covariance between Asset 1's return and Asset 2's return is ______.

Select one:

a. 0.0367

b. -0.012

c. -1.00

d. 0.0404

e. -0.75

there is one correct answer from above, please solve and tell me which one