Nailing Downside Risk

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.

*Bold labels indicate required fields.

E-mail Article

Send me a copy of this message

E-mail sponsored by:

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.