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All portfolios that lie on the capital market line:

A contain the same mix of risky assets unless only the risk-free asset is held.

All portfolios on the CML include the same tangency portfolio of risky assets, except the intercept (all invested in risk-free asset). The tangency portfolio contains none of the risk-free asset and "borrowing portfolios" can be constructed with a negative allocation to the risk-free asset. Portfolios on the CML are efficient (well-diversified) and have no unsystematic risk.


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