VaR-Bases Risk Decomposition Is the Calculation That Allocates the Total

Multiple Choice

VaR-bases risk decomposition is the calculation that allocates the total VaR of a portfolio to each of its assets or subportfolios. Which of the following statements is most valid?

A) Risk decomposition is based on the fact that VaR is linearly homogeneous in its constituents.
B) Risk decomposition assumes that the assets in a portfolio are distributed multivariate normal.
C) Risk decomposition depends on the sequence in which assets are added to an existing portfolio.
D) Risk decomposition is not possible if Monte Carlo simulation is used to compute VaR.