Question text

The below table shows the details of a portfolio of two assets A and B.

Portfolio Details
Asset	Expected return	Standard deviation	Beta	Covariance (A, B)	Expected Portfolio Return
A	0.02	0.3	0.7	0.14	0.06
B	0.08	0.9	1.2

Which one of the following statements is NOT correct?

a.

The correlation of asset A and Bs returns is 0.519.

b.

The portfolio beta is 1.033.

c.

The standard deviation of the portfolio is 0.733.

d.

The portfolio weight in asset A is 33.33%.

e.

The portfolio has some diversification.