Normally standard deviation of an assets is used as an proxy for the risk in the financial market. In reality distribution of return is more peaked at the center and higher mass in the tail as predicted by the normal distribution. If this is true than extreme observations will occur more frequently than predicted by normal distribution. So my questions are :
- If return are not normally distributed still then standard deviation can be used as an proxy for risk?
- Alternative measure of risk if returns are not normally distributed ?