Comparing downside risk measures for heavy tailed distribution
Danielsson, Jon
; Jorgensen, Bjørn N.; Sarma, Mandira; and Vries, C. G. de
(2005)
Comparing downside risk measures for heavy tailed distribution.
[Working paper]
; Jorgensen, Bjørn N.; Sarma, Mandira; and Vries, C. G. de
(2005)
Comparing downside risk measures for heavy tailed distribution.
[Working paper]
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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