Suppose there is no risk-free asset and the minimum-variance return is different from the constant-mimicking return, that is, bm = bc. From Section 6.2, we know there is a factor model with the constant-mimicking return as the factor:

E[R˜] = Rz +ψ cov(R˜,R˜ p + bce˜p) (6.36)

for every return R˜. From Section 6.2, we can conclude there is an SDF that is an affine function of the constant-mimicking return unless Rz = 0. However, the existence of an SDF that is an affine function of the constant-mimicking return would contradict the result of Section