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.