The risk-free return is 2% and the expected return and volatility of the market portfolio are 5% and 20%. Assets A has a volatility of 50% and a correlation with the market of -0.2. Which of the following statments is true if the CAMP holds? a) The expected return of Asset A is negative, because it has a negative correlation with the market portfolio The expected return of Asset A is higher than the expected return of the market because it has a higher volatility c) The expected return of Asset A is lower than the risk-free return d) It does not make sense to invest in Asset A because you can earn a higher return without bearing any risk by investing in the risk-free asset