The article discusses how investors can create the best mix of risky assets to meet their investment goals. By combining data on asset returns and risks with individual risk preferences, investors can find the optimal portfolio. This involves using the efficient frontier and indifference curves to identify the best balance of risk and return. Including a risk-free asset in the mix can further enhance the portfolio's efficiency. When market participants share the same expectations, they tend to invest in a similar portfolio of risky assets, known as the market portfolio. The combination of the risk-free asset and the market portfolio forms the capital market line, offering a guide for investors seeking the best investment strategy.