As per CAPM market portfolio is the optimal portfolio because a market portfolio, by nature of being completely diversified, is subject only to systematic risk, or risk that affects the market as a whole, and not to unsystematic risk, which is the risk inherent to a particular asset class.The expected return of a market portfolio is identical to the expected return of the market as a whole.

The market portfolio is an essential component of the capital asset pricing model (CAPM). Widely used for pricing assets, especially equities, the CAPM shows what an asset's expected return should be based on its amount of systematic risk.when we invest in market portfolio there is only systematic risk and we enjoy the highest Sharpe ratio.

Now it is depend upon the individual risk aversion level how they use market portfolio by combining that with Risk free investments and borrowings.Such that all of them enjoy the highest Sharpe ratio.

As per CAPM market portfolio is the optimal portfolio for all the investor irrespective of their risk aversion lelel because there is only systematic risk in market and we enjoy the highest Sharpe ratio and can change their risk level by borrowing and investing at Rf and same time enjoy the highest Sharpe ratio.