Comparing Downside Risk Measures for Heavy Tailed Distributions

Casper de Vries, Bjørn Jørgensen, 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.

Date: 2005-11
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http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/fmgdps/dp551.pdf (application/pdf)

Related works:
Journal Article: Comparing downside risk measures for heavy tailed distributions (2006)
Working Paper: Comparing downside risk measures for heavy tailed distribution (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:fmg:fmgdps:dp551

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