I am proposing a simple theory in which an investor distinguishes between positive and negative deviations in the portfolio value for risk estimation. The risk of the portfolio is defined as the average futile return on the portfolio. The investor tries to create such a portfolio that the unconditional average return is as high as possible while conditional (negative) return on the portfolio is as small (in absolute terms) as possible. I am not making any assumptions about the possible distribution of the stock prices and returns. However, assuming the normal (Gaussian) mutual distribution the solution reduces to the standard CAPM solution
