Which of the following statements is false?
A) A portfolio that costs nothing to construct is called a self-financing portfolio.
B) The most obvious portfolio to use in a multifactor model is the market portfolio itself.
C) In general, a self-financing portfolio is any portfolio with portfolio weights that sum to one rather than zero.
D) We can construct a self-financing portfolio by going long on stocks, and going short on other stocks with equal market value.
Correct Answer:
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