The correct answer is B. not identical.
The capital asset pricing model (CAPM) is a model that describes the relationship between risk and return for assets, and is widely used in finance to determine the expected return of a security. The CAPM assumes that all investors are rational and risk-averse, and that they will only invest in assets that have a positive expected return. The CAPM also assumes that all investors have access to the same information, and that there are no taxes or transaction costs.
One of the assumptions of the CAPM is that the variances, expected returns and covariance of all assets are not identical. This means that different assets have different levels of risk, and that investors will demand different returns for different levels of risk. The CAPM can be used to calculate the expected return of an asset, given its risk, and to compare the expected returns of different assets.
Option A is incorrect because the CAPM assumes that the variances, expected returns and covariance of all assets are not identical.
Option C is incorrect because the CAPM assumes that the variances, expected returns and covariance of all assets are not fixed.
Option D is incorrect because the CAPM assumes that the variances, expected returns and covariance of all assets are not variable.