The concept of the market portfolio has been central in both the formulation and application of the CAPM.However, there seems to be an apparent aberration in the concept and construction of the market portfolio by academics and practitioners alike.The objective of this work therefore is to demonstrate that it is feasible and expedient to construct an all-inclusive and market-value weighted market portfolio as well as examine empirically whether or not such an All-Asset market portfolio significantly explains better the risk-return behavior of assets in the capital markets.The Sharpe-Cooper...