问题如下：
With respect to capital market theory, the optimal risky portfolio:
选项：
A.is the market portfolio.
B.has the highest expected return.
C.has the lowest expected variance.
解释：
A is correct.
The optimal risky portfolio is the market portfolio. Capital market theory assumes that investors have homogeneous expectations, which means that all investors analyze securities in the same way and are rational. That is, investors use the same probability distributions, use the same inputs for future cash flows, and arrive at the same valuations. Because their valuations of all assets are identical, all investors will invest in the same optimal risky portfolio (i.e., the market portfolio).
老师 market portfolio是不是在CML里的Rf跟EF相切的那个点，那选A是不是可以理解为：因为CML就是特殊的CAL，所以CAL里的optimal risky portfolio就是 CML 里的optimal market portfolio。
