Which of the Following Statements Is FALSE

question 12

Multiple Choice

Which of the following statements is FALSE?

• A)As a practical matter,it is extremely difficult to identify portfolios that are efficient because we cannot measure the expected return and the standard deviation of a portfolio with great accuracy.
• B)The portfolios in a multifactor model can be thought of as either risk factors themselves or portfolios of stocks correlated with unobservable risk factors.
• C)Each factor beta is the expected percent change in the excess return of a security for a 1% change in the excess return of the factor portfolio.
• D)Even if the market portfolio is not efficient,it still must capture all components of systematic risk.

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Definitions:

Box-and-Whisker Plots

A graphical representation of data that displays the distribution, median, quartiles, and outliers of a dataset.

Key Statistics

Important or crucial numerical information that helps summarize, analyze, or interpret data or phenomena.

Data Set

A collection of related sets of information that is composed of separate elements but can be manipulated as a unit by a computer.

Chebyshev's Theorem

A statistical theorem stating that for any real-valued random variable, a minimum proportion of values fall within a certain number of standard deviations from the mean, regardless of the shape of the distribution.