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Which of the following statements is FALSE ? The risk premium for any security is proportional to its beta with the market. We can improve
Which of the following statements is FALSE?
- The risk premium for any security is proportional to its beta with the market.
- We can improve the performance of our portfolio by selling stocks with negative alphas.
- The market portfolio is on the SML, and according to the CAPM, since all other portfolios are inefficient they will not fall on the SML.
- The difference between a stock's expected return and its required return according to the security market line is called the stock's alpha.
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