Daníelsson, J., B. N. Jorgensen, M. Sarma, and C. G. de Vries (2006). Comparing downside risk measures for heavy tailed distributions. Economic Letters 92, 202–208. www.RiskResearch.org.

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Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Expected shortfall, though, may not always distinguish between the differing risk levels of assets.

@ARTICLE{DanielssonJorgensenSarmaVries2005,
 author =  {J{\'o}n Dan{\'\i}elsson  and B. N. Jorgensen and Mandira
                 Sarma and C. G. de Vries},
 title =   {Comparing downside risk measures for heavy tailed
                 distributions},
 journal = "Economic Letters",
 volume =  {92},
 pages =   {202--208},
 year =    2006,
 note =    {\em www.RiskResearch.org},
}