  The $L^q$ norm of a Dirichlet polynomial $F(s)=\sum_{n=1}^{N} a_n n^{-s}$ is
defined as \[\| F\|_q:=(\lim_{T\to\infty}\frac{1}{T}\int_{0}^T
|F(it)|^qdt)^{1/q}\] for $0<q<\infty$. It is shown that \[ (\sum_{n=1}^{N}
|a_n|^2|\mu(n)|[d(n)]^{\frac{\log q}{\log 2} -1})^{1/2}\le \| F\|_q \] when
$0<q<2$; here $\mu$ is the M\"{o}bius function and $d$ the divisor function.
This result is used to prove that the $L^q$ norm of $D_N(s):=\sum_{n=1}^{N}
n^{-1/2-s}$ satisfies $\|D_N\|_q\gg (\log N)^{q/4}$ for $0<q<\infty$. By
Helson's generalization of the M. Riesz theorem on the conjugation operator,
the reverse inequality $\|D_N\|_q \ll (\log N)^{q/4}$ is shown to be valid in
the range $1<q<\infty$. Similar bounds are found for a fairly large class of
Dirichlet series including, on one of Selberg's conjectures, the Selberg class
of $L$-functions.
