Capital gains isn't there to compensate for risk, nor should it. Let the borrower compensate the investor for their risk.

I think capital gains primarily serves as a crude mechanism to compensate for inflation.

Consider a hypothetical case:

  Year
  2050    $100 would but a 10 day supply of air
          I invest $100 in a jovian mining operation
  2060    $100 would buy a 5 day supply of air
          I sell my interest in the jovian mining operation
             for $300 making a handy $200!
          If taxed as income (33%) I would owe $66 in taxes
          But think about air, I had the equivalent of 10 days
             of air, now I can buy 15 days of air, so I really
             only earned 5 days of air worth $100 which if taxed 
             as income would cost me $33.
          So we invent a 2nd tax scheme for capital gains and
             set the rate at 15%, my $200 profit gets taxed $30
             and we are pretty close to "fair"

Except that only works for certain time periods over which inflation is about 100%. For shorter periods the investor wins. For longer ones the investor loses. And when I say "investor wins" I mean everyone else pays more to cover the government tax bill and vice versa for losing. There is no free lunch.

If only we had invented some sort of "thinking machine" that could perform basic arithmetic operations, and if only investors kept track of when they purchased their investment, and if only we had, say an office that tracked inflation… we could dispense with the crude estimator and just tax people on their profit above inflation.