Which of the following statements is false?

	a.	An efficient set of portfolios is the dominant portion of the opportunity set.
	b.	According to the Capital Asset Pricing Model, the expected return on a security is positively and linearly related to the security's beta.
	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.
	e.	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.