Question 1 elect the incorrect statement regarding the Market Portfolio M in Modern Portfolio Theory. In the absence of a risk free asset, investors identify the portfolio that sa investment objectives (risk and return objective) by the point of tangency utility indifference curve on the efficient frontier. Once a risk free asset i all investors will invest in the risk free asset and the Market portfolio Mb their utility function. Market Portfolio M is a well-diversified portfolio, and if the markets are e 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 M portfolio M. A capitalisation weighted portfolio of all market indexes will equivalent to a market portfolio M. Market portfolio M is a unique portfolio that resides on the efficient fron efficient frontier is identified by all efficient portfolios. However, the Mar portfolio M is unique since it is the portfolio identified as the point of tan when a Capital Allocation Line is drawn from the risk free rate and the ef frontier. Under the assumption of an efficient market, all assets in the Market Por allocated in proportion to their market capitalisation. This means larger assets will have higher allocation. Question 1 elect the incorrect statement regarding the Market Portfolio M in Modern Portfolio Theory. In the absence of a risk free asset, investors identify the portfolio that sa investment objectives (risk and return objective) by the point of tangency utility indifference curve on the efficient frontier. Once a risk free asset i all investors will invest in the risk free asset and the Market portfolio Mb their utility function. Market Portfolio M is a well-diversified portfolio, and if the markets are e 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 M portfolio M. A capitalisation weighted portfolio of all market indexes will equivalent to a market portfolio M. Market portfolio M is a unique portfolio that resides on the efficient fron efficient frontier is identified by all efficient portfolios. However, the Mar portfolio M is unique since it is the portfolio identified as the point of tan when a Capital Allocation Line is drawn from the risk free rate and the ef frontier. Under the assumption of an efficient market, all assets in the Market Por allocated in proportion to their market capitalisation. This means larger assets will have higher allocation