Which of the following is/are FALSE?
I. The systematic risk is diversifiable.
II. The efficient portfolios provide the highest possible return for a given level of risk (i.e., for a given standard deviation).
III. With the ability to borrow and lend at the risk-free rate, there is one BEST efficient risky portfolio to hold, the tangency portfolio (identified by the tangent point of the capital market line and the efficient frontier).