A.        The expected (simple) return of a portfolio is equal to the weighted average expected (simple) return of the individual assets.
B.        If a portfolio contains an asset with a negative weight then it must also contain an asset with a weight that exceeds 100% so that they weights sum to 100%.
C.        Finding the portfolio that maximizes the Sharpe ratio for every possible value, both positive and negative, of the risk free rate would trace out the entire efficient frontier.
D.        The estimated tangency portfolio is by construction the best performing portfolio in terms of Sharpe ratio within the sample used to estimate it.
E.         The sum of a portfolio’s weights must be equal to one.