Suppose you are holding a portfolio that invests 50% of the funds in Asset A and the other 50% in Asset B. The expected return of both assets is 15%, and the expected standard deviation is 0.10. Asset A Asset B E(Return) = 15% E(Return) = 15% E(Std Dev) -0.10 E(Std Dev) = 0,10 Which of the following statements regarding the portfolio is NOT true? The standard deviation of the portfolio increases as the correlation between the two assets increases. If the correlation between the two assets is -1.00, then the standard deviation of the portfolio will be 0. if the correlation between the two assets is 1.00, then the standard deviation of the portfolio will be 0.10 The standard deviation of the portfolio could be greater than 0.10