I don't know any widely used alternatives to CAPM, personally. I am sure you can google and possibly find some literature, but I can't give you names off the top of my head. Point is that CAPM is a model. It's based on some assumptions. Everyone apart from Taleb seems to realize that a model is exactly that, no more no less. His ravings against these models (CAPM, VAR, BS etc) are completely idiotic. His ravings against people who forgot that these models have flaws are sensible. Personally, I think one of the main problems of all arbitrage models lies in the risk-neutrality assumptions. If I were to dig anywhere, that's where I would start. However, people much smarter than myself can't figure out how to mathematically deal with models, where risk neutrality of behavior is violated.
One of Taleb's problems is a common one. He took a point of view that, if properly presented, could have been anice 1,200 or so word article that might have made him a few G's and secured his reputation in the minds of his mother and wife. The aunt will always have her doubts. The payoff for stretching it to a book was huge. In both financial and non-financial terms. I must say that rarely has someone perverted anything so much as he stretched it. No sexual pun intended. At least half of what he had to tell us could have been done by the following sentence. "Good (or even great) models will produce absolute crap if you take your vested interest (think investment banks and rating firms) and use assumptions that are not just suspect but that you know are the flip side of reality." So much of the agony this society will eat for years to come has been produced by assumptions that had not a shred of honestly or reality to them. It is by definition fraud. But fraud on a widespread basis perpetrated by those close to the seats of power and part of that strata of society are never investigated. A "commission" when formed will have the unspoken mandate to put this thing to bed. After all they will say -- "there is enough blame to spread around". The code for no one in our social set need worry. We were not hit by an outside the box event -- think meteor destroying Beaumont, Tx and causing a spike that resulted in a crash-- we were destroyed by one of the most predictable results of a society passing the line of reason and stepping into the abyss. The assumptions were lies. No model can correct that.
Yes, but, as I keep saying, there are people in academia that do it a lot better than NNT. His only claim to fame, as far as I am concerned, is that he screams the loudest.
Maybe you can challenge "hidden risk" to say in your paper that rating agencys for morgage back securities gave good ratings to bad securities. Rating is measure of risk, right? So you can say is a black swan principle what happened from 2008 to early 2009, or was that something that can be seen, but people want profit today, then pass that risk to someone else, and who care about the future of the company they work for? Greed. You can say the rating "model" is flawed, and everything that measure risk after that will be flawed too for equitys of 2008 to 2009. I did not read Taleb book, but I understand he thinks some risk can never be seen, so it can not be measured.
Judging by recent history, perhaps no one was screaming loud enough? What constructive analysis were the others offering?
...doesn't actually exist and... ...it has been demonstrated over and over that past beta and future beta are second cousins at best. That when you build a model on assumptions that are often orthogonal to market reality, you have to expect the occasional strong divergence between what happens and what "should" happen.
I wish this were true. The typical salesman - sorry, "advisor" - servicing retail customers trots that model out on a regular basis. Usually it's not expressed explicitly as "CAPM", but rather as a set of vague principles that just happen to align with the assumptions that go into CAPM.