Which statement below is false?

A.

The expected return on the market portfolio is greater than the risk-free rate.

B.

The risky efficient frontier in modern portfolio theory will be used by investors to decide how to allocate their capital. Different investors will combine the risk-free asset with different portfolios on the efficient frontier.

C.

Enhanced efficient frontier dominates the efficient frontier.

D.

It is possible that some investors might get lucky and generate a positive alpha in a given year.

E.

On average, in an efficient market, investors cannot consistently earn positive alpha.