Nailing Downside Risk
James X. Xiong
According to CVaR, the log-Truncated Lévy Flight model captures more of the downside risk of three standard stock/bond portfolios than does the lognormal model.
- Download
- File type: PDF
- File size: 989KB
Resources
SPONSORS
Disclaimer: The content and articles of this website are a special advertising supplement and are not created, written or produced by the editors of Pensions & Investments and do not represent the views or opinions of the publication or its parent company, Crain Communications Inc.