Comparing Downside Risk Measures for Heavy Tailed Distributions

Jón Daníelsson, Bjørn N. Jørgensen, Mandira Sarma*, Casper G. de Vries

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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.
OriginalsprogEngelsk
TidsskriftEconomics Letters
Vol/bind92
Udgave nummer2
Sider (fra-til)202-208
Antal sider7
ISSN0165-1765
DOI
StatusUdgivet - aug. 2006
Udgivet eksterntJa

Emneord

  • Downside risk measures
  • Heavy tailed distribution
  • Regular variation

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