Sarma, M.

downside risk measures measure distribution downside tail index tailed tail coefficients index approximation -+1 order risk measures coefficient variation proposition asset moment order approximation tailed distributions -+2 tailed distribution return +-1 +-1 bq tail region tail coefficient v arp expression 4. v arx proposition 1 4. v arp risk levels vries cg 1 1 b tail indexes --+2 behaviour journal paper level preference notion --+1 1. slpmx proof appendix 1 1- pareto distribution proposition 2 proposition 3 risk measure 5. esx region tailed behaviour v ary downside risk measure value-at-risk y 1+ 1+ 3000 dr rotterdam kurtosi tail index 4 variation jel classification >1 ax -+1 asset returns x 2 2. flpmx process study situation es estimates risk asset return distribution cambridge university press 2! 3! 2 power type behaviour westfalische wilhelms-universitat munster shortfall function respect p b 1 resnick tail indexes 1