Some Properties of Absolute Return: An Alternative Measure of Risk
- 1 January 1995
- journal article
- Published by JSTOR in Annales D'economie Et de Statistique
- No. 40,p. 67
- https://doi.org/10.2307/20076016
Abstract
The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of $E[|r|^{\t...Keywords
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