Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062443 | Economics Letters | 2006 | 7 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jón DanÃelsson, Bjørn N. Jorgensen, Mandira Sarma, Casper G. de Vries,