Which of the Following Statements Is FALSE

Multiple Choice

Which of the following statements is FALSE?

A) Because of the higher and uncompensated risk involved,no investor should choose a portfolio with a negative alpha.
B) Because the average portfolio of all investors is the market portfolio,the average alpha for all investors is zero.
C) The market portfolio can be inefficient if a significant number of investors misinterpret information and believe they are earning a positive alpha when they are actually earning a negative alpha.
D) If no investor earns a positive alpha,then no investor can earn a negative alpha,and the market portfolio must be efficient.