Comparing downside risk measures for heavy tailed distributions
Download paperDanielsson, J., B. N. Jorgensen, M. Sarma, and C. G. de Vries (2006). Comparing downside risk measures for heavy tailed distributions. 92, 202-208.
Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Expected shortfall, though, may not always distinguish between the differing risk levels of assets.
@article{DanielssonJorgensenSarmaVries2005,
author={J{\'o}n Dan{\'i}elsson and B. N. Jorgensen and Mandira Sarma and C. G. de Vries},
year=2006,
title={Comparing downside risk measures for heavy tailed distributions},
journal=EconLet,
volume={92},
issue=2,
pages={202--208},
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. Expected shortfall, though, may not always distinguish between the differing risk levels of assets.},
}