Multiple Choice
VaR fails the following requirement of a "coherent" risk measure:
A) Linear homogeneity.
B) Monotonicity.
C) Subadditivity.
D) Translation invariance.
Correct Answer:
Verified
Correct Answer:
Verified
Related Questions
Q24: The expected shortfall (ES)measure does not satisfy
Q25: Consider a $900 portfolio with three assets,each
Q26: The delta-normal method for computing VaR has
Q27: You invest $100 in a corporate bond.You
Q28: You invest $100 in a corporate bond.You
Q29: Which of the following best characterizes the
Q30: You invest $100 each in two
Q31: "Monotonicity" is the requirement of a risk-measure
Q33: If a portfolio is doubled in size,keeping
Q34: Which of the following measures of risk