Which of the following statements is FALSE?

A.

If investors have homogeneous expectations, then each investor will identify the same portfolio as having the highest Sharpe ratio in the economy.

B.

The combined portfolio of risky securities of all investors must equal the efficient portfolio.

C.

There are many investors in the world, and each must have identical estimates of the volatilities, correlations, and expected returns of the available securities.

D.

Homogeneous expectations are when all investors have the same estimates concerning future investments and returns.