Comparing downside risk measures for heavy tailed distribution

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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Year of publication:	2005-12
Authors:	Danielsson, Jon ; Jorgensen, Bjørn N. ; Sarma, Mandira ; Vries, C. G. de
Institutions:	London School of Economics (LSE)
Subject:	Downside risk measures \| Heavy tailed distribution \| Regular variation

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Discussion paper, 551 9 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011071274