Title of article :
Comparing downside risk measures for heavy tailed distributions
Author/Authors :
J?n Dan?elsson، نويسنده , , Bjorn N. Jorgensen، نويسنده , , Mandira Sarma، نويسنده , , Casper G. de Vries، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Abstract :
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.
Keywords :
Heavy tailed distribution , Downside risk measures , regular variation
Journal title :
Economics Letters
Journal title :
Economics Letters