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.
Originalsprog | Engelsk |
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Tidsskrift | Economics Letters |
Vol/bind | 92 |
Udgave nummer | 2 |
Sider (fra-til) | 202-208 |
Antal sider | 7 |
ISSN | 0165-1765 |
DOI | |
Status | Udgivet - aug. 2006 |
Udgivet eksternt | Ja |
Emneord
- Downside risk measures
- Heavy tailed distribution
- Regular variation