Comparing downside risk measures for heavy tailed distributions

Economics Letters

Volumn 92, Issue 2, 2006, Pages 202-208

  Daníelsson, Jón ^a   Jorgensen, Bjørn N ^b   Sarma, Mandira ^c,d   de Vries, Casper G ^d,e,f  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^c INDIAN STATISTICAL INSTITUTE   (India)

^d EINDHOVEN UNIVERSITY OF TECHNOLOGY   (Netherlands)

^e ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^f TINBERGEN INSTITUTE   (Netherlands)

Author keywords

Downside risk measures; Heavy tailed distribution; Regular variation

Indexed keywords

EID: 33746520159     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2006.02.004     Document Type: Article

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