4. Which of the following statements is FALSE? A) The variance of a portfolio is simply the weighted average of the variance of individual stocks within the portfolio. B) The expected return of a portfolio is simply the weighted average of the expected returns of individual stocks within the portfolio. C) Portfolio weights add up to 1 so that they represent the way we have divided our money between the different individual stocks in the portfolio. D) A portfolio weight is the fraction of the total investment in the portfolio held in an individual stock in the portfolio. 5. Which of the following statements is FALSE? A) A stock's return is perfectly positively correlated with itself. B) When the covariance equals 0, the stocks have no tendency to move either together or in opposition of one another. C) The closer the correlation is to -1, the more the returns tend to move in opposite directions. D) The correlation between a risky portfolio and a risk-free asset can be positive or negative 6. Which of the following statements is FALSE? A) The tangent portfolio is efficient and has the highest Sharpe Ratio. B) The tangent portfolio depends on investors' risk preference. C) By combining the tangent portfolio with the risk-free asset, an investor will earn highest possible expected return for any level of volatility her or she is willing to bear. D) When the CAPM assumptions hold, if all investors demand the tangent portfolio, then the market portfolio must equal the tangent portfolio