"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
Q24: Identifying the risk contribution of an asset
Q25: The expected shortfall (ES) measure does not
Q26: "Subadditivity" is the requirement of a coherent
Q27: Worst-case scenario analysis develops a measure that
Q28: Consider a two-asset portfolio invested with
Q29: VaR fails the following requirement of a
Q31: VaR-bases risk decomposition is the calculation that
Q32: Consider a $900 portfolio with three assets,
Q33: Which of the following risk measures
Q34: If every position in a portfolio is
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents