Which of the following is False?

a) If an asset has annual returns of 30%, 30%, and -30% for the past three years, then the coefficient of variation for this asset is 3.464.

b) The coefficient of variation cannot be negative.

c) The capital asset pricing model (CAPM) assumes that a risk-free asset has no systematic risk and the reward-to-risk ratio is constant.

d) If a stock portfolio is well diversified, then the portfolio variance may be less than the variance of the least risky stock in the portfolio.