▁the ▁forec ast ▁accuracy ▁of ▁the ▁C AP M . ▁ ▁The ▁model ▁assumes ▁that ▁the ▁variance ▁of ▁returns ▁is ▁an ▁ade qu ate ▁measurement ▁of ▁risk . ▁This ▁would ▁be ▁imp lied ▁by ▁the ▁assumption ▁that ▁returns ▁are ▁normally ▁distributed , ▁or ▁indeed ▁are ▁distributed ▁in ▁any ▁two - parameter ▁way , ▁but ▁for ▁general ▁return ▁distributions ▁other ▁risk ▁measures ▁( like ▁coh er ent ▁risk ▁measures ) ▁will ▁reflect ▁the ▁active ▁and ▁potential ▁share hold ers ' ▁prefer ences ▁more ▁ade qu ately . ▁Indeed , ▁risk ▁in ▁financial ▁invest ments ▁is ▁not ▁variance ▁in ▁itself , ▁rather ▁it ▁is ▁the ▁probability ▁of ▁losing : ▁it ▁is ▁asym metric ▁in ▁nature . ▁Bar cl ays ▁We alth ▁have ▁published ▁some ▁research ▁on ▁asset ▁allocation ▁with ▁non - normal ▁returns ▁which ▁shows ▁that ▁invest ors ▁with ▁very ▁low ▁risk ▁toler ances ▁should ▁hold ▁more ▁c ash ▁than ▁C AP M ▁suggests . ▁ ▁The ▁model ▁assumes ▁that ▁all ▁active ▁and ▁potential ▁share hold ers ▁have ▁access ▁to ▁the ▁same ▁information ▁and ▁agree ▁about ▁the ▁risk ▁and ▁expected ▁return ▁of ▁all ▁assets ▁( hom ogeneous ▁expect ations ▁assumption ). ▁ ▁The ▁model ▁assumes ▁that ▁the ▁probability ▁belief s ▁of ▁active ▁and ▁potential ▁share hold ers ▁match ▁the ▁true ▁distribution ▁of ▁returns . ▁A ▁different ▁possibility ▁is ▁that ▁active ▁and ▁potential ▁share hold ers ' ▁expect ations ▁are ▁bi ased , ▁causing ▁market ▁prices ▁to ▁be ▁information ally ▁in efficient . ▁This ▁possibility ▁is ▁studied ▁in ▁the ▁field ▁of ▁behavior al ▁fin ance ,