Which of the Following Statements Is False

Which of the following statements is false?

A) The beta of a security is the ratio of its volatility due to market risk to the volatility of the market as a whole.
B) Under the CAPM assumptions, the market portfolio is efficient, so beta is the appropriate measure of risk to determine a security's risk premium.
C) Under the CAPM assumptions, we can identify the efficient portfolio: it is equal to the market portfolio.
D) We can determine the expected return for a security and the cost of capital of an investment opportunity by using the risk-free investment as a benchmark.