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Comparing downside risk measures for heavy tailed distribution

Danielsson, Jon and Jorgensen, Bjørn N. and 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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Identification Number: 551

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
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 30 Jul 2009 13:52
Last Modified: 27 Feb 2014 15:35
URI: http://eprints.lse.ac.uk/id/eprint/24671

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