Which of the Following Statements Is FALSE

question 89

Multiple Choice

Which of the following statements is FALSE?

• A) A portfolio's risk premium and volatility are determined by the fraction that is invested in the market.
• B) Because all investors should hold risky securities in the same proportions as the efficient portfolio, their combined portfolio will also reflect the same proportions as the efficient portfolio.
• C) Graphically, when the tangent line goes through the market portfolio, it is called the security market line (SML).
• D) When the Capital Asset Pricing Model (CAPM) assumptions hold, choosing an optimal portfolio is relatively straightforward; it is the combination of the risk-free investment and the market portfolio.