Considering the Capital Asset Pricing Model, Which of the Following

Multiple Choice

Considering the Capital Asset Pricing Model, which of the following observations is incorrect?

A) In a well-diversified portfolio, unsystematic risk can be largely diversified away.
B) Systematic risk is considered to be a diversifiable risk.
C) Total risk is the sum of systematic risk and unsystematic risk.
D) Systematic risk reflects the co-movement of a stock with the market portfolio.
E) Unsystematic risk is specific to the firm.