Abstract: It has a very important practical significance of the inspection of the Capital Asset Pricing Model. The CAPM can be better for us to use the capital asset pricing model of investment behavior and asset pricing reference and guidance. However, there are many scholars who questioned its effectiveness since the CAPM proposed 1965. It is found that through the study of the capital market line geometric characteristics, existing under the assumptions of the capital asset pricing model, not only difficult to guarantee its effectiveness, but also the existence of the capital market line can not be guaranteed. Therefore, in order to ensure the existence of the capital market line, it is necessary to modify the assumptions of the Capital Asset Pricing Model. There should be an additional condition on the base of the assumption of the existing capital asset pricing model is shown in this study. This condition is the risk-free interest rate lower than the minimum square on the efficient frontier almost expected rate of return.