Comparing Downside Risk Measures for Heavy Tailed Distributions

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

doi:10.1016/j.econlet.2006.02.004

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 tidsskrift › Tidsskriftartikel › Forskning › peer 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.

Originalsprog	Engelsk
Tidsskrift	Economics Letters
Vol/bind	92
Udgave nummer	2
Sider (fra-til)	202-208
Antal sider	7
ISSN	0165-1765
DOI	https://doi.org/10.1016/j.econlet.2006.02.004
Status	Udgivet - aug. 2006
Udgivet eksternt	Ja

Emneord

Downside risk measures
Heavy tailed distribution
Regular variation

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Citationsformater

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title = "Comparing Downside Risk Measures for Heavy Tailed Distributions",

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.",

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AU - Daníelsson, Jón

AU - Jørgensen, Bjørn N.

AU - Sarma, Mandira

AU - de Vries, Casper G.

PY - 2006/8

Y1 - 2006/8

N2 - 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.

AB - 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.

KW - Downside risk measures

KW - Heavy tailed distribution

KW - Regular variation

KW - Downside risk measures

KW - Heavy tailed distribution

KW - Regular variation

U2 - 10.1016/j.econlet.2006.02.004

DO - 10.1016/j.econlet.2006.02.004

M3 - Journal article

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VL - 92

SP - 202

EP - 208

JO - Economics Letters

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