The correct answer is A. The capital market line (CML) is a graphical representation that shows the relationship between expected return and risk for efficient, well-diversified portfolios. It always has a positive slope because as risk increases, so does the expected return. The steepness of the CML, which is its slope, is determined by the market risk premium (the difference between the expected return on the market portfolio and the risk-free rate) and the volatility of the market portfolio. This is because the slope of the CML is calculated as the market risk premium divided by the market portfolio's volatility.

Option B is incorrect because the CML does not connect the risk-free asset with the zero-beta minimum-variance portfolio; instead, it connects the risk-free asset with the market portfolio, which is considered the optimal risky portfolio.

Option C is incorrect because the portfolio with the lowest standard deviation on the efficient frontier is not typically held by the least risk-averse investors. According to the capital market line, all investors should allocate their funds between the risk-free asset and the market portfolio. Risk-averse investors would allocate a larger proportion of their funds to the risk-free asset.

Option D is incorrect because one of the key assumptions of the Capital Asset Pricing Model (CAPM) is that all market participants have homogeneous expectations, meaning they share the same forecasts for asset returns. Consequently, all investors hold the market portfolio, which is the same for everyone, rather than different portfolios based on individual forecasts.