Capital Asset Pricing Model (CAPM): Assumptions

Which of the following is _least likely_ an assumption of the capital asset pricing model (CAPM)?

Correct! This is not an assumption of the CAPM.

Incorrect. It is an assumption of the model that market risk, measured by beta, is the only relevant risk measure.

Incorrect. This is an assumption of the model, which allows the security market line to exist on both sides of the market portfolio in risk and return space.

Asset returns are strictly positive

Investors can borrow and lend at the risk-free rate

The relevant measure of risk is systematic (or market) risk