Investment and portfolio management

I. True or False. Circle the correct answer and briefly explain. (Total: 45 points) (1) (5 points) You combine N risky assets to form an optimal risky asset and achieve a Sharpe Measure , there is now a new asset with a negative Jensen Measure, you could combine the N+1 asspill achieve a Sharpe Measure larger than S. TRUE or FALSE (briefly explain)