Clearly, this implication of Sharpe's model was empirically false. Sharpe balked "I thought, well, nobody will believe this. This can't be right" and he tweaked his mathematics to avoid the unpalatable conclusion. "I wanted ever so much for there to be multiple risky portfolios that were efficient ... it does not come naturally" out of the mathematics (Sharpe interview). In the analysis in his published paper, multiple optimal portfolios albeit all perfectly correlated with each other are indeed possible, and Sharpe told his readers that "the theory does not imply that all investors will hold the same combination" of risky assets (Sharpe 1964, p. 435).

Donald MacKenzie, An Engine, Not a Camera, loc. 248