The capital asset pricing model (CAPM)  assumes that…

… investors agree on the return, risk and correlations of all assets and invest in all assets accordingly

Investors clearly disagree frequently on all of these, and many investors have limits on what asset classes they can invest in.

… perfect capital markets exist: there are no restrictions on borrowing and lending

Many investors face leverage constraints, forcing them to overweight risky assets in search for higher returns.

… all investors have the same time horizon

Investors with different time horizons consider different assets “risk-free”

Some investors have real vs. nominal liabilities

Different investors will choose different portfolios to leverage or de-leverage

… investors can securitize and trade all wealth

The majority of the world’s wealth is not securitized (human capital, residential real estate, etc.)

Investors owning different non-tradable assets could chose different optimal portfolios of tradable assets

… all investors are mean-variance optimizers

Many are not