Comparing downside risk measures for heavy tailed distribution

Jon Danielsson, Bjørn Jørgensen, Mandira Sarma and Casper de Vries

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: downside risk measures; heavy tailed distribution; regular variation (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2005-12-01
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http://eprints.lse.ac.uk/24671/ Open access version. (application/pdf)

Related works:
Journal Article: Comparing downside risk measures for heavy tailed distributions (2006)
Working Paper: Comparing Downside Risk Measures for Heavy Tailed Distributions (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24671

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