estion 1 ect the incorrect statement regarding the Market Portfolio M in the dern Portfolio Theory. In the absence of a risk free asset, investors identify the portfolio that satisfi investment objectives (risk and return objective) by the point of tangency of utility indifference curve on the efficient frontier. Once a risk free asset is in all investors will invest in the risk free asset and the Market portfolio M base their utility function. Market Portfolio M is a well-diversified portfolio, and if the markets are effic then the Market portfolio will only consist of systematic risk, since all the unsystematic risk has been diversified. Capitalised weighted market indexes are similar in construction to the Marke portfolio M. A capitalisation weighted portfolio of all market indexes will be equivalent to a market portfolio M. Market portfolio M is a unique portfolio that resides on the efficient frontier efficient frontier is identified by all efficient portfolios. However, the Market portfolio M is unique since it is the portfolio identified as the point of tanger when a Capital Allocation Line is drawn from the risk free rate and the efficie frontier. Under the assumption of an efficient market, all assets in the Market Portfoli allocated in proportion to their market capitalisation. This means larger capit assets will have higher allocation