Which of the following statements is incorrect? Group of answer choices

The capital asset pricing model (CAPM) assumes that all securities are priced according to their systematic risk.

If you know the risk-free rate, the market risk-premium, and the beta of a share, then using the CAPM you will be able to calculate the expected rate of return for the share.

If you are trying to determine whether to purchase Security A or Security B as the only holding in your portfolio, then you can consider the coefficient of variation in order to understand the risk-return relationship of the individual securities.

If you are building a portfolio, then you desire assets that have a correlation coefficient of one.