Suppose a riskless asset does not exist
Each investor still wishes to hold a portfolio with the highest expected
return given its volatility (mean-variance efficient)
Investors hold different risky portfolios, but all such portfolios lie on the
efficient frontier
Combinations of portfolios on the boundary also lie on the boundary; the
market portfolio M is the combination of all investors’ risky portfolios
The market portfolio must be mean-variance efficient
more to see in
http://webuser.bus.umich.edu/zhanglu/Handout_CAPM.pdf