Comparing downside risk measures for heavy tailed distribution
Danielsson, J.
, Jorgensen, B. N., Sarma, M. & Vries, C. G. d.
(2005).
Comparing downside risk measures for heavy tailed distribution.
(Financial Markets Group Discussion Papers 551).
Financial Markets Group, The London School of Economics and Political Science.
, Jorgensen, B. N., Sarma, M. & Vries, C. G. d.
(2005).
Comparing downside risk measures for heavy tailed distribution.
(Financial Markets Group Discussion Papers 551).
Financial Markets Group, The London School of Economics and Political Science.
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.