贝塔系数是风险的正确度量吗

在经典的投资组合理论中 ,假设所有资产的报酬率服从对数正态分布 ,因而只需要用收益的方差来度量风险就足够了 ,忽略了偏度的影响。资产收益的分布往往不是对称的 ,偏度是客观存在的 ,而且投资者具有正偏度的爱好。所以必须用方差和偏度来共同度量投资的风险 ,在这种情况下 ,贝塔系数不再是风险的正确度量 ,采用有效的修正方法 ,可以用来对资产进行正确的定价

IS Beta Index the Appropriate Risk Measurement?

In the classical theory of portfolio, there is an assumption that all asset returns are normally distributed, so the variance can measure risk enough and thus ignores skewness. But the asset returns are often un-normally distributed the variance is objective,and investors prefer the positive skewness.We must use both variance and skewness to measure risk and thus beta is a wrong measurement.An effective modification of beta will fix a correct price for assets.