Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady; Sarma, Mandira; de Vries, Casper G. Fat tails, VaR and subadditivity. (English) Zbl 1443.62343 J. Econom. 172, No. 2, 283-291 (2013). MSC: 62P05 91G70 PDF BibTeX XML Cite \textit{J. Daníelsson} et al., J. Econom. 172, No. 2, 283--291 (2013; Zbl 1443.62343) Full Text: DOI Link
Daníelsson, Jón; Jorgensen, Bjørn N.; Sarma, Mandira; De Vries, Casper G. Comparing downside risk measures for heavy tailed distributions. (English) Zbl 1254.91266 Econ. Lett. 92, No. 2, 202-208 (2006). MSC: 91B30 62E10 62P20 PDF BibTeX XML Cite \textit{J. Daníelsson} et al., Econ. Lett. 92, No. 2, 202--208 (2006; Zbl 1254.91266) Full Text: DOI