Given Two Portfolios $P _ { 1 }$ And $P _ { 2 }$

question 21

Multiple Choice

Given two portfolios $P _ { 1 }$ and $P _ { 2 }$ ,which risk measure $R ( )$ does not always satisfy the "sub-addivity" property (i.e. ,that $R \left( P _ { 1 } + P _ { 2 } \right) \leq R \left( P _ { 1 } \right) + R \left( P _ { 2 } \right)$ where $R (. )$ is the measure of portfolio risk) ?

• A)VaR.
• B)Expected shortfall.
• C)Variance.
• D)Standard deviation.