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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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)|
|Additional Information:||© 2005 The Authors|
|Uncontrolled Keywords:||Downside risk measures, Heavy tailed distribution, Regular variation|
|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
|Date Deposited:||30 Jul 2009 13:52|
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