I would like to apply the capital asset pricing model (CAPM) for selecting proportions of 6 different stocks. In introductory books, the CAPM model assumes that there is one market index (e.g. the S&P 500) the individual stocks are regressed against.
However, suppose the 6 stocks are from different markets (NASDAQ, NYSE, AMEX) but the same market sector (information technology). How do I determine the efficient frontier and tangency portfolio?