Comparing downside risk measures for heavy tailed distributions
AbstractUsing 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 92 (2006)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Jon Danielsson & BjÃ¸rn N. Jorgensen & Mandira Sarma & C. G. de Vries, 2005. "Comparing downside risk measures for heavy tailed distribution," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24671, London School of Economics and Political Science, LSE Library.
- Casper G. de Vries & BjÃ¸rn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers, Financial Markets Group dp551, Financial Markets Group.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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