Suppose that a stock has an excess return that follows a linear factor model with the market

as the single factor. So ri $$ rf $=\backslash$alpha i $+\backslash$beta i$($rMkt $$ rf$)+$i

$.$ Suppose that $\backslash$alpha i $>0$ and Var$()>0.$ Now consider

a mean$-$variance investor with access to this asset, the risk$-$free asset, and the market portfolio. What is

the weight in stock i in the optimal risky portfolio $($includes only stock i and the market$).$ What does this

mean about the market portfolio? Is this inconsistent with the CAPM?