Which of the Following Statements Is False

question 45

Multiple Choice

Which of the following statements is false?

• A) A significant fraction of investors might care about aspects of their portfolios other than expected return and volatility, and so would be unwilling to hold inefficient investment portfolios.
• B) Although the true market portfolio of all invested wealth might be efficient, the proxy portfolio might not track the actual market very well.
• C) We might be using the wrong proxy portfolio when we calculate alphas.
• D) The true market portfolio consists of all traded investment wealth in the economy.

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