Which of the Following Statements Is FALSE

question 41

Multiple Choice

Which of the following statements is FALSE?

• A)To improve the performance of their portfolios,investors who are holding the market portfolio will compare the expected return of each security with its required return from the security market line.
• B)The Sharpe ratio of a portfolio will increase if we sell stocks with positive alphas.
• C)When a stock's alpha is not zero,investors can improve upon the performance of the market portfolio.
• D)When the market portfolio is efficient,all stocks are on the security market line and have an alpha of zero.