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 journalJournal articleResearchpeer-review


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 languageEnglish
JournalEconomics Letters
Issue number2
Pages (from-to)202-208
Number of pages7
Publication statusPublished - Aug 2006
Externally publishedYes


  • Downside risk measures
  • Heavy tailed distribution
  • Regular variation

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