The below table shows the details of a portfolio of two assets A and B. Portfolio Details Expected Expected Standard Covariance (A, Asset Beta return deviation B) 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 portfolio beta is 1.033. b. The standard deviation of the portfolio is 0.733. c. The portfolio weight in asset A is 33.33%. O d. The portfolio has some diversification. e. The correlation of asset A and B's returns is 0.519