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Which statement is FALSE? According to historical evidence, small-cap stocks are the riskiest asset class among stocks. Large portfolios with higher returns have higher volatilities.

Which statement is FALSE?

  1. According to historical evidence, small-cap stocks are the riskiest asset class among stocks.
  2. Large portfolios with higher returns have higher volatilities.
  3. An efficient portfolio is any portfolio that does not contain diversifiable risk.
  4. Diversification eliminates both firm-specific risk and systematic risk.

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