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i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the …
Persistent link: https://www.econbiz.de/10010884635
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 …
Persistent link: https://www.econbiz.de/10011071274