Which of the following statements about portfolio investment risk is false?
a. The beta coefficient measures the risk of investments held in portfolios.
b. A beta greater than 1.0 indicates that the investment has greater risk than that of the entire portfolio.
c. Standard deviation measures the risk of investments held in portfolios.
d. A beta less than 1.0 indicates that the investment has less risk than that of the entire portfolio.
e. The beta of a portfolio is a weighted average of the betas of the component investments.