(by Eq. (8.22)).
That is, the intercept of the line joining p and the minimum variance portfolio is the expected return on the zero-covariance portfolio. This identifies the zero-covariance portfolio to p geometrically. We already know how to determine its precise composition.
Our next step is to describe the expected return on any portfolio in terms of frontier portfolios. After some manipulations, this will yield Eq. (8.29). The specialization of this relationship will give the zero-beta CAPM, which is a version of the CAPM when there is no risk-free asset. Recall that thus far we have not included a risk-free asset in our collection of assets ...
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