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Comparing downside risk measures for heavy tailed distributions

  • Danielsson, Jon
  • Jorgensen, Bjorn N.
  • Sarma, Mandira
  • de Vries, Casper G.

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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File URL: http://www.sciencedirect.com/science/article/B6V84-4K5SSXK-1/2/0eea118ba4b45049d6e00ac313351b32
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 92 (2006)
Issue (Month): 2 (August)
Pages: 202-208

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Handle: RePEc:eee:ecolet:v:92:y:2006:i:2:p:202-208
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  2. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
  3. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-26, March.
  4. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  5. Dennis Jansen & Casper de Vries, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis.
  6. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
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