2.Which of the following statements is incorrect?
(A) If the CAPM correctly computes the risk premium, investors would stop investing only when they expected thealpha of an investment strategy to be negative.
(B)Although the true market portfolio of all invested wealth might be efficient, the proxy portfolio might not track theactual market very well.
(C) An efficient portfolio cannot be diversified further, that is there is no way to reduce the risk of the portfolio withoutlowering its expected return.
(D) To determine a project's cost of capital we need to estimate its beta.