English, Article, Journal or magazine article edition: Comparing Downside Risk Measures for Heavy Tailed Distributions Casper G. de Vries; Bjørn N. Jorgensen; Sarma Mandira; ...

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Bookmark: http://trove.nla.gov.au/version/45136
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Comparing Downside Risk Measures for Heavy Tailed Distributions
Author
  • Casper G. de Vries
  • Bjørn N. Jorgensen
  • Sarma Mandira
  • Jon Danielsson
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:fmg:fmgdps:dp551
Language
  • English
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