Comparing downside risk measures for heavy tailed
Economics Letters , Volume 92 - Issue 2 p. 202- 208
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.
|downside risk measures, heavy tailed distribution, regular variation|
|Criteria for Decision-Making under Risk and Uncertainty (jel D81), Portfolio Choice; Investment Decisions (jel G11)|
|Organisation||Erasmus School of Economics|
Daníelsson, J, Jorgensen, B.N, Sarma, M, & de Vries, C.G. (2006). Comparing downside risk measures for heavy tailed. Economics Letters, 92(2), 202–208. doi:10.1016/j.econlet.2006.02.004