My course notes define
Suppose now that there are many different investments $A_1,\dots,A_n$ available. We can invest our one unit of currency by investing $t_i$ in $A_i$ for each $1 \leq i \leq n$ as long as $\sum_{i=1}^n t_i=1.$ What are all possible pairs $(\sigma, r)$ corresponding to these portfolios? This set of points in the $\sigma-r$ plane is called the feasible set.
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An efficient portfolio is a feasible portfolio that provides the greatest expected return for a given level of risk, or equivalently, the lowest risk for a given expected return. (This is also called an optimal portfolio.) The efficient frontier is the set of all efficient portfolios.
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We now add a risk-free asset B. Let $r_B$ be its (expected) return. [...] Consider the set $S$ consisting of all the slopes $s$ of lines $\ell_s$ in the $\sigma-r$ plane which pass through the point $(0, r_B)$ and intersect the feasible set. Let $m$ be the supremum of $S$. Consider now the line $\ell_m$ which is above all the others: The line $\ell_m$ will either be tangent to the efficient frontier or asymptotic to it. This point of tangency is called the market portfolio and we shall denote the corresponding portfolio with $M$. The new efficient frontier, $\ell_m$ is called the capital market line.
How can the Capital Market Line (CML) be an efficient frontier (set of all efficient portfolios) when efficient portfolios must be feasible and (with the exception of the market portfolio) the CML is outside the feasible set?