Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Thus, regardless of the particular risk measure being used, assets will be ranked in a similar and consistent manner for heavy tailed assets
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this a...
We document substantial practitioner interest in measures of the downside tail risk of hedge funds, ...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
textabstractIn this paper we study some prominent downside risk measures for heavy tailed distributi...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
textabstractStandard risk metrics tend to underestimate the true risks of hedge funds because of ser...
Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlat...
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this a...
We document substantial practitioner interest in measures of the downside tail risk of hedge funds, ...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
textabstractIn this paper we study some prominent downside risk measures for heavy tailed distributi...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
textabstractStandard risk metrics tend to underestimate the true risks of hedge funds because of ser...
Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlat...
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this a...
We document substantial practitioner interest in measures of the downside tail risk of hedge funds, ...
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