Schweser acknowledges CAL in MVO-SAA then disavows risk-free asets. Then it mentions constrained/ unconstrained efficient frontiers, which wouldn’t make sense if risk-free assets don’t exist.
When they disavow risk-free assets, am I to understand that risk=/0 to the degree that risk-exists (and not risk-free)? So in other words, vol would be close to zero in the real world (for SAA) and zero (theoretically in CAL)?