I believe the market portfolio only exists in theory. According to the CML curve, we know that the optimal portfolio of all investors is on CML. The CML curve reflects the linear relationship between expected returns and risks in an efficient portfolio, but to a certain extent, this research just sorts out what investors already know and builds them with models. It is very difficult to determine an efficient portfolio in reality, Because we cannot measure the expected return and standard deviation of the portfolio with high accuracy. Do you have an opposite opinion? What do you think?