That the CAPM holds by construction when performance is measured against a mean-variance efficient index; otherwise, it holds not at all. Attributable to Richard Roll in 1977.
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A theory stating it is impossible to create a fully diversified portfolio and, therefore, the capital asset pricing model (of which a diversified portfolio is an important part) cannot be completely accurate. According to Roll's critique, a diversified portfolio would include all assets in the world. Thus, the CAPM uses a large index, such as the S&P 500 or the Wilshire 5000, as a proxy for the fully diversified portfolio.
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