Question: Which statement below is incorrect? A. Assets with lower expected returns might be attractive if they have low correlation with the rest of the portfolio.

Which statement below is incorrect?

A.

Assets with lower expected returns might be attractive if they have low correlation with the rest of the portfolio.

B.

CAPM is an imperfect asset pricing model.

C.

A meanvariance investor will include in his/her portfolio a risky asset only if it offers expected returns above the risk-free rate.

D.

Historically speaking, value stocks have beaten growth stocks.

E.

Fama-French factors drive risk premiums.

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