Comparing downside risk measures for heavy tailed distributions (Q1929399)

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Comparing downside risk measures for heavy tailed distributions
scientific article

    Statements

    title
    Comparing downside risk measures for heavy tailed distributions (English)
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    author
    Jón Daníelsson
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    Bjørn N. Jorgensen
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    Mandira Sarma
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    Casper G. de Vries
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    publication date
    8 January 2013
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    zbMATH Keywords
    downside risk measures
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    heavy tailed distribution
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    regular variation
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    62E10
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    62P20
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    zbMATH DE Number
    6123388
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