Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) Diversification cannot eliminate risk that is inherent in the macro economy or market risk.
B) The expected rate of return on a portfolio depends on the correlation between the return on each stock.
C) Although gold is a risky investment by itself, including gold in a stock portfolio may reduce total risk of the portfolio.
D) Using the concept of correlation in a portfolio can reduce risk.