Multiple Choice
"Subadditivity" is the requirement of a coherent risk measure that
A) The risk of a subset of portfolio holdings be strictly less than the risk of the entire portfolio.
B) The risk of the combination of two portfolios be at most the sum of the risks of the two portfolios.
C) The risk of the combination of two portfolios be at least the sum of the risks of the two portfolios
D) The sum of the risks of each constituent of the portfolio equals the total risk of the portfolio.
Correct Answer:
Verified
Correct Answer:
Verified
Q8: Identifying the risk contribution of an asset
Q9: Consider a two-asset portfolio invested with
Q10: Which of the following risk measures
Q11: Consider a two-asset portfolio invested with
Q12: A portfolio has a current value
Q14: If every position in a portfolio is
Q15: Value-at-Risk (VaR)is most closely defined as<br>A)The probability
Q16: The value-at-risk of a portfolio is<br>A)Always positive.<br>B)Always
Q17: You invest $100 each in two
Q18: Monte Carlo is widely-used approach for computing