Putting all your eggs in the saftest basket known to man

In the end it is somewhat ironic that Markowitz starts off being concerned that real investors don't do what was logically implied by the Burr Williams approach, namely to put all their investment in a single maximal $E[r']$.  This leads to the efficient frontier set of portfolios.  Yet if he would have put the risk free asset in there, his efficient frontier collapses down to a single line, replicating the capital market line anyway.

Isn't it weird also that no-one is concerned that the efficient portfolio, on its way to being the CML, remains nonlinear until the final moment.  It also flattens out the curvature and hence the juice, the value, of the free lunch, namely diversification.  The minimum variance portfolio which contains treasury bills, plus all of the stocks in the stock market, is one where you have 100% of your assets in bills.