Which of the following statements is not an assumption of the capital asset pricing model (CAPM)? Investors are risk averse: they will prefer the less risky of two investment alternatives that are otherwise identical. Any risky investment can be described in terms of the risk it entails and the expected return it offers. Returns on risky assets have normal (bell-shaped) probability distributions. An investor's goal is to minimize his risk, even if this results in lower expected returns