In the CAPM, the Security Market Line (SML) defines combinations of the riskless asset and market portfolio M that investors can hold. By contrast, under Black’s zero-beta CAPM, what are two ways for investors to hold efficient portfolios?

Draw a diagram to illustrate your answer. Where is the market portfolio M in this diagram? How can the investor hold M. Assuming the investor holds an efficient portfolio, using your diagram, how can the uncorrelated zero-beta portfolio counterpart be located?