Excess chance measures

Starting point of the excess chance measures is a target return, for example a one-month market return, defined by the investor. Chance is than to be considered as the possibility to beat the target return. Special cases of excess chance measures are the excess probability, the excess expectation and the excess variance.

Literature: Albrecht, Maurer & Stephan (1995b)

Entry by: Michael Adam


November 10, 1997
Direct questions and comments to: Glossary master