Which of the following statement is FALSE? If the CAPM holds, then all assets will graph on the Security Market Line (SML). O The slope of the Security Market Line (SML) is represented by the market risk premium. O Portfolios on the Capital Market Line (CML) contains both systematic and unsystematic risk. O When using all risky assets available in the market in the market and the risk-free asset to form portfolio, we find that all efficient portfolios are on the Capital Market Line (CML). o If an asset graph above the SML, then this asset is under-priced according to the CAPM. - Previous Next Saved at 21:09 Subm There are only three risky assets available in a given market: A, B, and C. The expected return of A, B, and Care 10%, 15%, and 18% respectively. The market portfolio has 20% in A, 40% in B, and 40% in C. Other than these three risky assets, there is also a risk-free asset available in this market. The risk- free rate is 2%. Based on your risk aversion, you form an efficient portfolio with 8.6% expected return What are the weights on A, B, C, and the risk-free asset of your portfolio? O 10% in A, 20% in B, 20% in C, and 50% in the risk-free asset. O 20% in A, 10096 in B-50% in C, and 30% in the risk-free asset. O 82.5% in A, 0% in both B and C. and 17.5% in the risk free asset. O 20% in A. -60% in B, 8096 in C. and 60% in the risk-free asset. O 30% in A, 20% in B, 1096 in C. and 4096 in the risk-free asset