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DanielssonJorgensenSarmaVries2005.pdf
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🔗 Source: RiskResearch.org
📊 Size: 86 KB
📄 Pages: 9 pages
⬇️ Downloads: 80

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Researchers compared downside risk measures for heavy-tailed distributions, showing that prominent measures produce similar rankings of heavy-tailed risk, meaning assets are ranked consistently regardless of the risk measure used. They defined heavy-tailed distributions using regular variation and analyzed several downside risk measures, including lower partial moments, Value-at-Risk (VaR), and Expected Shortfall (ES). The study found that for heavy-tailed asset returns, these risk measures can be approximated and that the tail index determines the ranking of assets, with lower tail indexes indicating more risk.

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Researchers compared downside risk measures for heavy-tailed distributions, showing that prominent measures produce similar rankings of heavy-tailed risk,...

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  • File Format: PDF
  • File Size: 86 KB
  • Pages: 9
  • Language: EN
  • Total Downloads: 80
  • Last Updated: 2 hours ago

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