When it comes to the market, Tepper said he is "cautious," but not "outright bearish."
Right now he thinks returns are OK, but the outcome of the election could change that.
"The market will move in different ways" he said, depending on who wins the White House and who wins Congress.
The election's impact will also be felt in the credit market, as Tepper said its outcome will determine whether or not the Federal Reserve raises benchmark interest rates this December.
He said the economy is "at a point where they [the Federal Reserve] should raise rates," but if the market reacts negatively after the election, the Fed could be forced to once again leave rates unchanged.
Icahn agreed with Tepper when it comes to being cautious. "A lot of S&P companies are way overvalued considering the risk premium," he said.
Icahn said that finding opportunity in this market is difficult but there are companies that are "uniquely undervalued" like Cheniere, AIG and Xerox — all major holdings in his portfolio.
Icahn added that embattled Herbalife is also "undervalued" despite its 45 percent rally from the February 2016 low and a trade that has worked against his rival, short-seller Bill Ackman of Pershing Square.
"Bill Ackman [is] completely wrong," Icahn insisted. "I think Herbalife will be the mother of all short squeezes."