Which of the following statements is FALSE?
A)Because all investors should hold the risky securities in the same proportions as the efficient portfolio,their combined portfolio will also reflect the same proportions as the efficient portfolio.
B)When the CAPM assumptions hold,choosing an optimal portfolio is relatively straightforward: it is the combination of the risk-free investment and the market portfolio.
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.

Question

Quizplus · Accepted Answer

The tangent line that goes through the market portfolio is called the Capital Market Line (CML), not the Security Market Line (SML). The SML represents the expected return of a security as a function of its beta with the market.

Which of the Following Statements Is FALSE