Multiple Choice
"Monotonicity" is the requirement of a risk-measure that if Portfolio A dominates Portfolio B (in the sense of always doing at least as well as B in every state of the world and strictly better in some states) , then the risk of Portfolio A should be less than the risk of Portfolio B. Which of the following statements is correct?
A) Standard deviation (SD) fails to satisfy monotonicity.
B) Value-at-Risk (VaR) fails to satisfy monotonicity.
C) Expected shortfall (ES) fails to satisfy monotonicity.
D) All three of these portfolio risk-measures (SD, VaR, and ES) fail monotonicity.
Correct Answer:
Verified
Correct Answer:
Verified
Q1: A portfolio has a current value
Q2: Identifying the risk contribution of an asset
Q3: "Subadditivity" is the requirement of a coherent
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