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Icapm
Theoretically optimal portfolio requires tilting toward or away from securities that hedge against bad states the world. An investor who wants to achieve the highest sharp ratio while ignoring portfolio covariance with bad states of the world can't just invest in the market. Even if you know how you're different from average, we don't have precise information about which assets are truly sensitive to unknown state variables. If you want to minimize the risk of trading on bad information, owning the total market portfolio accomplishes that.