Problem: When building libzmq with CMake, the installed libzmq.dylib
  has a relative install name (otool -D libzmq.dylib) on MacOS. This
  is a regression against building via autotools which sets an
  absolute install name. Effectively, the CMake built libzmq.dylib
  is rendered useless if installed in non-system directories and
  used in environments without explicit DYLD_LIBRARY_PATH mgmt. For
  example running any of the installed executables currently fails:
  $ /some_install_prefix/bin/inproc_lat
  dyld: Library not loaded: libzmq.5.dylib
    Referenced from: /some_install_prefix/bin/inproc_lat
    Reason: image not found
  Trace/BPT trap: 5

Solution: Best practice is to install relocatable dylibs.
  On MacOS this means setting an install name with a special prefix,
  e.g. @rpath/libzmq.dylib, and adding the relevant search paths
  to the embedded rpath list. In this patch the necessary CMake options
  are added to generate the desired relocatable dylibs. Find more
  information on: https://cmake.org/Wiki/CMake_RPATH_handling.