Which of the Following Statements Is False

Which of the following statements is false?

A) Adding additional securities to a portfolio only reduces market risk.
B) The risk-return relationship relates only to market risk.
C) Reducing market risk usually implies sacrificing expected return.
D) The appropriate measure of risk should only consider the incremental risk a security adds to a well-diversified portfolio.
E) Investors are usually not fully compensated for bearing the total risk associated with a security.