The below table shows the details of a portfolio of two assets A and B. Portfolio Details Expected Standard Asset Expected Beta Covariance (A, B) return deviation Portfolio Return A 0.05 0.4 1.3 0.16 0.08 B 0.09 0.7 1.6 Which one of the following statements is NOT correct? O a. The standard deviation of the portfolio is 0.588. O b. The correlation of asset A and B's returns is 0.571. . The portfolio has some diversification. O d. The portfolio beta is 2.725. Oe. The portfolio weight in asset A is 25%