Comparing downside risk measures for heavy tailed
August 2006
Article
volume 92, issue 2 pp 202-208.
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In this paper we study some prominent downside risk measures for heavy tailed distribution. Using the notion of regular variation to define heavy tailed distributions we provide approximations of the risk measures in the tail region. We show that the downside risk measures produce similar and consistent ranking of risk. However, Expected Shortfall may not always distinguish between the differing risk levels of assets.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- G11 : Portfolio Choice; Investment Decisions
- D81 : Criteria for Decision-Making under Risk and Uncertainty
Automatically Extracted Terms
- downside risk measures
- measure
- distribution
- downside
- tail index
- tailed
- tail coefficients
- index
- approximation
- -+1
- risk measures
- order
- coefficient
- variation
- proposition
- asset
- tailed distributions
- tailed distribution
- order approximation
- moment
