Multiple Choice
Identifying the risk contribution of an asset to a portfolio is more difficult than identifying its return contribution because
A) Risk does not always increase when you add assets to a portfolio.
B) Risk, unlike return, is not additive.
C) Risk is a property of portfolios, not one of individual assets.
D) Some assets have no risk.
Correct Answer:
Verified
Correct Answer:
Verified
Q1: A portfolio has a current value
Q3: "Subadditivity" is the requirement of a coherent
Q4: "Monotonicity" is the requirement of a risk-measure
Q5: VaR as a risk measure has the
Q6: Consider a two-asset portfolio invested with
Q7: If a portfolio is doubled in size,
Q8: The expected shortfall (ES) measure does not
Q9: Worst-case scenario analysis develops a measure that
Q10: A portfolio has a current value
Q11: The delta-normal method for computing VaR has