Comparing Downside Risk Measures for Heavy Tailed Distributions

Casper G. de Vries (), Bjorn N. Jorgensen, Sarma Mandira and Jon Danielsson ()

FMG Discussion Papers from Financial Markets Group

Abstract: Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be ranked in a similar and consistent manner for heavy tailed assets.

New Economics Papers: this item is included in nep-rmg
Date: 2005-11

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Related works:
Journal Article: Comparing downside risk measures for heavy tailed distributions (2006)
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