Which of the following statements is a incorrect regarding the CAPM framework? The Capital Asset Pricing Model (CAPM) is a model that relates the expected risk premium (returns above the risk free rate of return) of the investment to the expected risk premium of the market, based on the level of systematic risk. O Investors can have different investment horizons but the investment horizon is restricted to a period that the market remains informational efficient. The portfolio M is defined as a portfolio of all risky assets in a market, allocated in Portfolio M in terms of capitalisation (capitalisation weighted). The market participants have informational efficiency regarding all risky assets in the market in terms of each assets' expected return, volatility and correlation (with every risky asset in the market). Market participants are allowed to have different levels of risk aversion and each market participant is risk averse. Which of the following statements is incorrect regarding Liquidity constraint on a portfolio? Portfolio manager(s) can cater for higher liquidity needs by allocating more capital to assets that can be sold with low transaction cost (%). Increasing liquidity needs will result in an investment with higher volatility Higher Spend by an Endowment fund will decrease Endowment fund's expected returns Short duration government securities (bonds) can be used to cater for liquidity needs of an investor Investors can cater for their liquidity needs by holding a higher proportion of assets with large dividend yields