sk. 4. diversification a large enough international 5. Assume that you have a choice of two assets, A and B, and a portfolio of an equal share of the two assets. Assume also that the assets have the following statistics: Return Variance Covariance Asset A 20% 0.10 -0.01 Asset B 16% 0.02 a. What does the negative covariance between the assets A and B mean? b. As a risk-averse investor, would you choose the asset A, B, or the portfolio? Explain your reason. 1