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Which of the following statements is FALSE about Black's Zero-Beta CAPM with restricted borrowing, and,...

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Accounting

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Which of the following statements is FALSE about Black's Zero-Beta CAPM with restricted borrowing, and, also consistent with the chart shown below? a. Very risk-averse investors' optimal allocation is between the risk-free security and the Tangency Portfolio. b. Risk-loving investor's optimal allocation is between borrowing at the risk-free rate and investing along the dashed line part of the array originating at rf and passing through the Tangency portfolio, c. In the CAPM equilibrium, the Tangency Portfolio has a Beta less than 1. d. The Market Portfolio is not the maximum Sharpe Ratio portfolio

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