For an investment with negatively skewed returns, the most appropriate of the following risk measures is:

A) Sortino ratio. B) value at risk. C) shortfall risk

For me this one is the VaR, not the Sortino, Qbank tells me I am wrong though. Can someone explain this one?

I don’t see that the Sortino ratio is any more appropriate than value at risk.

What’s their explanation?

well sortino measures downside deviation… which may be most appropriate for negatively skewed returns rather than a size of a possible decline at a certain significance level