Question 8 An investor has a portfolio of two assets A and B. The details are shown in the below table. Not yet saved Portfolio Details Marked out of 4.00 Expected Standard Expected Asset Covariance (A, B) return deviation Portfolio Return P Flag question A 0.03 0.5 0.18 0.06 B 0.04 0.6 Which one of the following statements is NOT correct? a. The correlation of asset A and B's returns is 0.6. b. The portfolio weight in asset A is -200%. O c. The standard deviation of the portfolio is 2.08. d. The investor can benefit from a fall in the price of asset A. e. The portfolio has some diversification