Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) To improve the performance of their portfolios, investors who are holding the market portfolio will compare the expected return of each security with its required return from the security market line.
B) The Sharpe ratio of a portfolio will increase if we sell stocks with positive alphas.
C) When a stock's alpha is not zero, investors can improve upon the performance of the market portfolio.
D) When the market portfolio is efficient, all stocks are on the security market line and have an alpha of zero.