Which of the Following Risk Measures Is Not Translation Invariant $r$

question 10

Multiple Choice

Which of the following risk measures is not translation invariant (i.e. ,does not satisfy the property that if we add a risk-free asset to a portfolio with a return of $r$ ,the risk of the portfolio should come down by the extent of this addition) ?

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

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