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 for this work

Research output: Contribution to journal › Journal article › Research › 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.

Original language	English
Journal	Economics Letters
Volume	92
Issue number	2
Pages (from-to)	202-208
Number of pages	7
ISSN	0165-1765
DOIs	https://doi.org/10.1016/j.econlet.2006.02.004
Publication status	Published - Aug 2006
Externally published	Yes

Keywords

Downside risk measures
Heavy tailed distribution
Regular variation

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Cite this

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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.",

keywords = "Downside risk measures, Heavy tailed distribution, Regular variation, Downside risk measures, Heavy tailed distribution, Regular variation",

author = "J{\'o}n Dan{\'i}elsson and J{\o}rgensen, {Bj{\o}rn N.} and Mandira Sarma and {de Vries}, {Casper G.}",

year = "2006",

month = aug,

doi = "10.1016/j.econlet.2006.02.004",

language = "English",

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journal = "Economics Letters",

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T1 - Comparing Downside Risk Measures for Heavy Tailed Distributions

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

SN - 0165-1765

VL - 92

SP - 202

EP - 208

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -