Comparing downside risk measures for heavy tailed distributions
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- Danielsson, Jon & Jorgensen, Bjørn N. & Sarma, Mandira & Vries, C. G. de, 2005. "Comparing downside risk measures for heavy tailed distribution," LSE Research Online Documents on Economics 24671, London School of Economics and Political Science, LSE Library.
- Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers dp551, Financial Markets Group.
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More about this item
- 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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