If there was a single optimal portfolio, it was clear what that portfolio had to be. Prices would adjust such that no capital asset remained without an owner and every investor would hold every risky capital asset every stock, for instance in proportion to its market value. Sharpe: "When I finally broke out of [the view that there had to be more than one optimal portfolio of risky assets] I said `If there's only one, it's got to be the market portfolio. It's the only way you can get everything to add up."

Donald MacKenzie, An Engine, Not a Camera, loc. 250