Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) We say a portfolio is long those stocks that have negative portfolio weights.
B) The efficient portfolios are those portfolios offering the highest possible expected return for a given level of volatility.
C) When two stocks are perfectly negatively correlated, it becomes possible to hold a portfolio that bears absolutely no risk.
D) The lower the correlation of the securities in a portfolio the lower the volatility we can obtain.