The estimation of risk and the cost of capital remains one of the most complex issues in corporate finance today. The cost of capital is the key and most uncertain variable that, in the context of economic evaluations, financial analysts, financial advisors, consultants, professionals, financial and administrative departments, must estimate to actualize financial flows. Its uncertainty is significant and can compromise the validity of the entire evaluation process, especially when the targets are unlisted companies, given the difficulty of estimating their greater risk compared to listed companies. Unlike the latter, in fact, the absence of disclosure obligations, the lack of an active market where the shares held can be liquidated at any time, together with the impossibility of diversifying the asset, determine a higher level of risk for the investor. The difficulties of estimation in the valuation practice originate from the fact that for unlisted companies there is no shared methodology in the literature and among operators to refer to, unlike listed companies, for which there is a broad consensus on the Capital Asset Pricing Model (CAPM).