mage that you are investing in a combination of asset X and the risk free rate. Asset X is

not the market portfolio. If CAPM holds, which statement is FALSE:

A$.$ The standard deviation of your portfolio is equal to the share of investment in asset X

times the standard deviation of X$.$

B$.$ The weight of investment in X is equal to the beta of X$.$

C$.$ The slope of the Capital Allocation Line of your investment is smaller than the slope of

the Capital Market Line.

D$.$ Stock X can be on the efficient mean variance frontier.

E$.$ Stock X can have smaller total risk than the risk of the market portfolio.