Comparing downside risk measures for heavy tailed distributions

DOI10.1016/j.econlet.2006.02.004zbMath1254.91266OpenAlexW1801733850MaRDI QIDQ1929399

Mandira Sarma, Casper G. de Vries, Bjørn N. Jorgensen, Jón Daníelsson

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.02.004

zbMATH Keywords

regular variationheavy tailed distributiondownside risk measures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory of statistical distributions (62E10)

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