Vol 3 Asset allocation Que 9

this is old but brining it to life - question in Kaplan’s morning mock has this situation exactly. no borrowing constraint and they say NOT to use the tangency portfolio for this reason:

  1. A foundation is ongoing. It has no one discrete time period to consider and no true risk- free asset (0 standard deviation) exists to borrow or lend at. Use two CPs.

Can someone please help me understand this logic?