Abstract: The capital asset pricing model(CAPM)discovered by Sharp(1964),Lintner(1965)and Mossin(1966)is a general equilibrium model It not only allows improved understanding of market behavior,but also provides practical benefits At the same time,it also provides a practical mechanism for evaluating performance in a risk adjusted mode This model thus provides the initial basis for the practical implementation of the many aspects of portfolio analysis However,Richard Roll(1977) had directed some biting criticism at the tests in affirming the CAPM This criticism is aimed at one of the critical notions the identification of the efficient market portfolio This paper solves the highly difficult problem by a geometrical way It first expresses the efficient frontier of Markowitz model with the weights vector of portfolio Then,it expresses the capital market line(CML)with the weights vector too By the definition of the CML,the efficient market portfolio thus can be identified.

Key words: market portfolio, efficient frontier, capital market line