Asset A has an expected return of 10% while asset B has an expected return of 15%. The standard deviation of their returns are 30% and 45%, respectively. If you can combine these two assets to create a risk-free portfolio, then which of the following is a necessary condition:

	a.	Covariance of their returns equals -0.135
	b.	Covariance of their returns equals 0
	c.	Covariance of their returns equals -1
	d.	Correlation coefficient of their returns equals 0
	e.	Both assets have negative market beta