Which of the Following Statements Is FALSE

Multiple Choice

Which of the following statements is FALSE?

A) A portfolio is efficient if it has the highest possible Sharpe ratio; that is it is efficient if it provides the largest increase in expected return possible for a given increase in volatility.
B) The required return for an investment is equal to a risk premium that is equal to the risk premium of the investor's current portfolio scaled by .
C) Increasing the investment in investment I will increase the Sharpe ratio of portfolio P if its expected return E[R_i] exceeds the required return r_i, which is given by r_i = r_f + × (E[R_p] - r_f) .
D) If a security i's expected return is less than the required return r_i, we should reduce our holding of security i.