Mishra, Santosh; Gonzalez-Rivera, Gloria; Lee, Tae-Hwy - Econometric Society - 2004
Decision theorists claim that an ordinal measure of risk may be sufficient for an agent to make a rational choice under uncertainty. We propose a measure of financial risk, namely the Varying Cross-sectional Risk (VCR), that is based on a ranking of returns. VCR is defined as the probability of...