The capital market Line The market portfolio According CAPM, in equilibrium each security must has a nonzero proportion in the composition of the tangency pe portfolio It results from separation theorem which assert that the risky portion of every investor's portfolio is independent of the investor; s risk-return preference.The Capital Market Line • The Market Portfolio – According CAPM, in equilibrium each security must has a nonzero proportion in the composition of the tangency portfolio. «It results from separation theorem which assert that the risky portion of every investor’s portfolio is independent of the investor;s risk-return preference