The first type of risk is most important for the CAPM and is measured by its beta coefficient. This ratio relates the excess return of the action on the risk-free rate and the market excess return relative to the risk-free rate. The diversifiable risk or unsystematic risk arises from aspects such disputes, strikes, marketing programs with or without success and other events that are unique to a particular company. Since these events are essentially individual, their effects on an investment portfolio can be controlled and eliminated through diversif Annual review ication. The traditional way to get the beta coefficient is by means of a linear regression of two variables under the assumption that the excess return on investment, analyzed as a time series, has homoscedastic conditional variance. The CAPM model and other models that measure the expected return and the risk of an asset, have been severely criticized by a number of authors, which are inadequate structure of these models to estimate and predict the price risk. Some of these criticisms are based on the long-term variance is assumed constant. Other criticisms are supported with regression tests, which show that predictions about the rate of risk premium measured by the variables used as explanatory are inefficient. There strongest criticisms questioning the logic of empirical models Harry Markowitz and William Sharpe, who proposed the CAPM Although the CAPM and other models, such as arbitrage pricing, which measure the risk of an asset have been severely criticized, this is still very useful in evaluating corporate investments. In recent years, one can find another class of models belonging to the theory of time series. Such models are called autoregressive conditional heteroskedasticity models (ARCH, GARCH and ARCH-M) which try to overcome structural inefficiencies in the financial models. On the other hand, it is considered that the capital market is efficient only pa Annual review rtially. There are three dimensions in measuring efficiency: operational, distributive and prices. There operational efficiency if all transactions can be made transparently at the lowest possible cost. Allocative efficiency if there is any financial asset of equal risk provides the same return. There are efficiency prices if all available information is reflected in prices. While there are three degrees of efficiency in prices: weak, semi-strong and strong. In the current weak level at least prices reflect all past information. In the semi-strong degree, in addition to the above, it should reflect all the information made available through the financial statements. In the strong degree, in addition to the above, it should reflect th Annual review e private information; for example, plans for business growth. This paper addresses three aspects. First, the theoretical framework for enterprise risk >