Which of the Following Statements Is False

Which of the following statements is false?

A) A significant fraction of investors might care about aspects of their portfolios other than expected return and volatility, and so would be unwilling to hold inefficient investment portfolios.
B) Although the true market portfolio of all invested wealth might be efficient, the proxy portfolio might not track the actual market very well.
C) We might be using the wrong proxy portfolio when we calculate alphas.
D) The true market portfolio consists of all traded investment wealth in the economy.