The measurement of investment risk

Document description

If, as suggested in the introduction to this paper, the Markowitz approach to risk is not sufficiently general, it is clearly highly desirable to develop a more general theory of investment risk by returning to first principles and using only those axioms which can be shown to be of universal validity. This paper describes how a general theory of this type can be developed and then examines in detail whether the Markowitz approach can indeed be regarded as a special case of this more general framework.