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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. Discussion paper, 551. Financial Markets Group, London School of Economics and Political Science, London, UK.

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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.

Item Type: Monograph (Discussion Paper)
Official URL: http://fmg.lse.ac.uk
Additional Information: © 2005 The Authors
Library of Congress subject classification: H Social Sciences > HF Commerce
H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 551
Date Deposited: 30 Jul 2009 13:52
URL: http://eprints.lse.ac.uk/24671/

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