CAPM assumes investors have identical expectations with respect to expected returns, the variance of returns, and the correlation matrix representing the correlation structure between all pairs of stocks. The other choices are not assumptions of the CAPM.

Key CAPM Assumptions:

• Investors are rational and risk-averse
• Investors have homogeneous expectations
• There are no transaction costs or taxes
• All assets are perfectly divisible and liquid
• Investors can borrow and lend at the risk-free rate
• No single investor can influence market prices

The other options contradict CAPM assumptions:

• A: CAPM assumes NO transaction costs
• B: CAPM assumes NO single investor can affect prices
• C: CAPM assumes NO taxes

Reference: Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2019. Chapter 5. Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM).