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Which of the following statements is FALSE? A. Expected return should rise proportionately with volatility. B. Investors would not choose to hold a portfolio that

Which of the following statements is FALSE?

A. Expected return should rise proportionately with volatility.

B.

Investors would not choose to hold a portfolio that is more volatile unless they expected to earn a higher return.

C. Smaller stocks have lower volatility than larger stocks.

D.

The largest stocks are typically more volatile than a portfolio of large stocks.

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