CML 56The tangency portfolio is the same for all investors Ätangency portfolio = summation of all assets =
“market portfolio”. It must contain shares of every stock
in proportion to that stocks’ representation in the entire market (i.e. to that stocks’ market capitalization).
Single-period random cash flows: CAPM
SecurityShares outstanding Price Capitalization Market weightJazz, Inc.10,000 $6.0060,00015%Classical, Inc.30,000 $4.00120,00030%Rock, Inc.40,000 $5.50220,00055%400,000Market Capitalization (only three assets)