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One of the best documented propositions in the field of finance is that, on average, investors have received higher rates of return on investment securities for bearing greater risk. This paper looks at the historical evidence regarding risk and return, explains the fundamentals of portfolio and asset pricing theory, and then goes on to take a new look at the relationship between risk and return using some unexplored risk measures that seem to capture quite closely the actual risks being valued in the market.
Burton G. Malkiel (Mon,) studied this question.