Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) We say a portfolio is an efficient portfolio whenever it is possible to find another portfolio that is better in terms of both expected return and volatility.
B) We can rule out inefficient portfolios because they represent inferior investment choices.
C) The volatility of the portfolio will differ, depending on the correlation between the securities in the portfolio.
D) Correlation has no effect on the expected return on a portfolio.