Considering the Capital Asset Pricing Model, which of the following observations is (are) incorrect?

a.

The total risk of a portfolio is higher than the market risk if Beta> 1 and unsystematic risk>0.

b.

Systematic risk reflects the co-movement of a stock with the market portfolio.

c.

In a well-diversified portfolio, the relevant risk is market risk, and the relevant risk measure is Beta.

d.

For a portfolio with Beta = 1, the total risk will be less than the risk of a market portfolio.

e.

Both a and b.