The correct answer is A. The capital market line (CML) is a graphical representation that connects the risk-free asset with the market portfolio on the efficient frontier. The slope of the CML is determined by the market risk premium, which is the difference between the expected return of the market portfolio (Rm) and the risk-free rate (Re), and the volatility of the market portfolio, represented by the beta (βm). The equation of the CML is given by:

$Re + \frac{(Rm - Re)}{\beta_m} \times \beta_e$

Here, βe represents the beta of an efficient portfolio. Since the slope of the CML is directly influenced by the market risk premium and the market's volatility, statement A is correct. The CML has a positive slope because the market risk premium is positive, indicating that investors are compensated with higher returns for taking on additional risk.

Statement B is incorrect because the CML connects the risk-free asset with the market portfolio, not the zero beta minimum variance portfolio.

Statement C is incorrect because investors with the lowest risk aversion will typically hold the market portfolio itself, which lies on the efficient frontier and has the highest possible return for a given level of risk, not the portfolio with the lowest standard deviation.

Statement D is incorrect because the efficient frontier represents the set of optimal portfolios for all investors, given the expected returns, volatilities, and correlations of the assets. It does not allow for different individual portfolios based on personal forecasts for asset returns.