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The capital asset pricing model (CAPM) assumes that investors can borrow at the risk-free rate and short sell, and also, that the market portfolio is efficient. With respect to the risk-free rate and selling short, the market portfolio may NOT be efficient: A. if both borrowing at the risk-free rate and short-selling are not possible. B. for reasons unrelated to the risk-free rate and asset, and these issues are not important. C. if either borrowing at the risk-free rate or short-selling is not possible. D. under no circumstances, the market portfolio is efficient by definition. |