Sharpe-Lintner CAPM theory converts the mean-variance model into a marker-clearing asset-pricing model. All invertors agree on the distributions of returns and may borrow or lend without limit at a risk-free rate. The risk-free rate clears the market for borrowing and lending. Combining the risk-free asset and risky assets results in a linear mean-variance-efficient frontier that is tangent to the efficient frontier/risky assets frontier. All who hold risky assets hold this tangent portfolio, the value-weighted portfolio of all risky assets. The CAPM implies that the market portfolio is efficient.
(Eugene F. Fama is at the University of Chicago. Kenneth R.French is at Dartmouth College. The summary was by Charles F. Peake, CFA, University of Maryland at Baltimore Connty.)