Explain how the global market portfolio serves as a neutral starting point for asset allocation

Under the CAPM every investor holds the market-value-weighted portfolio of all risky assets, so it is the natural neutral benchmark: it needs no return forecasts, is macro-consistent because it reflects what investors collectively hold, and is cheap to rebalance because weights drift with prices. An investor then departs from it only for a stated reason, such as liabilities, home currency, taxes, liquidity needs or a strong view. In practice the true market portfolio includes non-investable assets, so it is proxied by global equities and bonds, perhaps with real estate and other assets. Reverse optimisation of market weights yields implied equilibrium returns that can feed an optimiser. The trap is treating deviations as costless; each tilt should be justified and sized.