Which of the Following Statements Is FALSE

question 6

Multiple Choice

Which of the following statements is FALSE?

• A) 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.
• B) The Capital Asset Pricing Model (CAPM) assumptions hold that the return on any portfolio is the combination of the risk-free rate of return plus a risk premium proportional to the amount of systematic risk in the investment.
• C) Graphically, when the tangent line goes through the market portfolio, it is called the security market line (SML).
• D) A portfolio's risk premium and volatility are determined by the fraction that is invested in the market.