QUESTION 2 Which of the following statements is FALSE?T 1. C We call a portfolio that contains only unsystematic risk an efficient portfolio. O An efficient portfolio cannot be diversified further, that is there is no way to reduce only unsystematic risk an eff the risk of the portfolio without lowering its expected return. C Because diversification improves with the number of stocks held in a portfolio arn efficient portfolio should be a large portfolio containing many different stocks. C The beta of a security is the sensitivity of the security's return to the return of the overall market