Which of the following statements are most likely to be false? Portfolio diversification reduces a portfolios expected return because diversification reduces the portfolios total risk. In equilibrium, it is possible for a risky security to earn an expected return lower than the riskfree rate. If stock A has a beta of 1.2 and stock B has a beta of 1.4 it is not possible to form a portfolio of stocks A and B that has the same systematic risk and expected return attributes of the market portfolio.