Comparing downside risk measures for heavy tailed distributions

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.
Volume
92
Page
202-208
Number
2
Year
2006
Keywords
Downside risk measures; Heavy tailed distribution; Regular variation
Categories
New Risk Measures
Publications
Economics Letters
Authors
Daníelsson, Jón
Jorgensen, Bjørn N.
Sarma, Mandira
Vries, Casper G. de