Question 1 In the context of portfolio theory and asset pricing models, which of the following statement is most likely to be false? A The Capital Allocation Line is a plot of risk-return combinations by varying portfolio allocation between a risk-free and a risky asset Within the framework of modern portfolio theory, if portfolios A and B have the same return but portfolio A has less risk, then portfolio B is inefficient Betas measure the exposure of individual assets to systematic risk which, according to the Capital Asset Pricing Model, is the only risk that matters In contrast to the Capital Asset Pricing Model, Arbitrage Pricing Theory has fewer restrictive assumptions The relationship between expected return and total risk is described by the Security Market Line B D E