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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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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:
Additional Information: © 2005 The Authors
Divisions: Financial Markets Group
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HB Economic Theory
JEL classification: 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
Date Deposited: 30 Jul 2009 13:52
Last Modified: 12 Jan 2021 01:21

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