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

question 1

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.