Explanation: The capital market line (CML) applies only to portfolios on the efficient frontier, which represent optimal combinations of expected return and total risk. For efficient portfolios, total risk equals systematic risk because diversifiable risk is eliminated. Therefore, the CML consists of well-diversified portfolios (Option A).

• Option B is incorrect because while nonsystematic risk is zero for well-diversified portfolios, systematic risk remains (e.g., the market portfolio has systematic risk measured by beta).
• Option C is incorrect because portfolios on the CML have nonsystematic risk equal to zero, not beta.