Before revision: The relation between volatility and the predicted average returns of portfolios in excess of market returnsis investigated using four risk measures: 1) Tsallis q-Gaussian relative entropy, 2) Kullback-Leibler relative entropy, 3) the parameter 'beta' of the Capital Asset Pricing Model (CAPM), and 4) relative standard deviation.
After revision: The relation between volatility and the predicted average returns of portfolios in excess of market returnsis investigated using four risk measures: 1) Tsallis q-Gaussian relative entropy, 2) Kullback-Leibler relative entropy, 3) the parameter 'beta' of the Capital Asset Pricing Model (CAPM), 2) Kullback-Leibler relative entropy, and 3) the relative standard deviation.