Which of the Following Statements Is FALSE

Which of the following statements is FALSE?

A) A portfolio's risk premium and volatility are determined by the fraction that is invested in the market.
B) Because all investors should hold risky securities in the same proportions as the efficient portfolio, their combined portfolio will also reflect the same proportions as the efficient portfolio.
C) Graphically, when the tangent line goes through the market portfolio, it is called the security market line (SML) .
D) When the Capital Asset Pricing Model (CAPM) assumptions hold, choosing an optimal portfolio is relatively straightforward; it is the combination of the risk-free investment and the market portfolio.