Answer whether the following five statements are true (T) or false (F).

Diversification eliminates common and idiosyncratic risks alike. true (T) or false (F).

If the CAPM correctly prices risk, the market portfolio of all risky securities is efficient. true (T) or false (F).

Beta is the sensitivity of an investments returns to fluctuations in Treasury bill yields. true (T) or false (F).

Portfolios with securities sold short have negative portfolio weights for those securities. true (T) or false (F).

Efficient portfolios are those with only diversifiable risk; it contains no systematic risk. true (T) or false (F).