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 …

controversial questions are addressed for each model: time-variation in risk premia and parameter uncertainty. …

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …

alternative with constant risk level implies a higher level of inequality aversion. The experiment was conducted among 211 eight …Inequality aversion and risk aversion are widely assumed features of economic models. But a review of the literature … revealed that inequlity aversion and risk aversion are treated as separate variables. This paper presents exploratory research …