SSRN-Sorting Out Downside Beta by Thierry Post, Pim Van Vliet, Simon Lansdorp

If you ask investors about risk, maybe one in 10,000 (?) will say I am really worried about MAKING too much money. Most are worried about losing money. Yet by defining risk based on differences from a mean (variance) we are inherently saying that making too much money and losing too much money are both equally scary propositions. And because CAPM uses variance in its calculation of Beta, it