Which of the following is NOT an assumption used in deriving the Capital Asset Pricing Model (CAPM)?

A. Investors have homogeneous expectations regarding the volatilities, correlation, and expected returns of securities.

B. Investors have homogeneous risk adverse preferences toward taking on risk.

C. Investors hold only efficient portfolios of traded securities, that is portfolios that yield the maximum expected return for the given level of volatility.

D. Investors can buy and sell all securities at competitive market prices without incurring taxes or transactions cost and can borrow and lend at the risk-free interest rate.