Risk Decomposition: Variance or Standard Deviation--A Reexamination and Extension
重新审视并扩展了Ben Horim和Levy的研究，指出风险分解应基于标准差而非方差，并证明该结论在无风险资产扩展的CAPM中同样适用。
This paper reexamines and extends the work of Ben Horim and Levy [1], which argued that risk decomposition should be based on standard deviation rather than on variance. Their analysis showed that decomposition of variance is wrong when β < 0 and that, in general, this procedure produces incorrect estimates of undiversifiable risk. This paper shows that these conclusions also apply to the no-risk-free asset extended CAPM if risk is adjusted for the unavoidable risk associated with the global minimum variance portfolio.