Which of the following statements is false?

a$.$

According to the Capital Asset Pricing Model, the expected return on a security is positively and linearly related to the security$\text{'}$s beta.

b$.$

A stock with an actual return that lies above the security market line has yielded a higher return than expected for the level of risk assumed.

c$.$

The combination of the efficient set of portfolios with a riskless lending and borrowing rate results in the security market line which shows that all investors will invest in a combination of the riskless asset and the tangency portfolio.

d$.$

The separation principle states that an investor will invest only in the riskless asset and tangency portfolio choosing the weights based on individual risk tolerance.