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Which of the following statements is FALSE? According to the Capital Asset Pricing Model (CAPM) A. A portfolio of non-perfectly correlated stocks, all of which

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Which of the following statements is FALSE? According to the Capital Asset Pricing Model (CAPM) A. A portfolio of non-perfectly correlated stocks, all of which have identical betas, will have the same expected return as, but lower total risk than its constituent stocks. B. If two portfolios have the same beta but different expected returns, at least one of them must have be mispriced. C. Adding a zero-beta asset to a portfolio containing stocks with positive betas will reduce the portfolio's risk and its expected return. D. A well-diversified portfolio (you can assume the portfolio has eliminated all unsystematic risk) will behave essentially in the same way (same return, same volatility) as the risk-free asset. E. A portfolio with an expected return that is lower than the risk-free rate must have a negative beta

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