"Monotonicity" Is the Requirement of a Risk-Measure That If Portfolio

question 31

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.

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