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

question 23

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.

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Definitions:

Classical Conditioning

A pairing process in learning where two stimuli are continuously linked; initially, the response is elicited by the second stimulus but over time, the first stimulus can elicit this response by itself.

Beeping Sound

A type of auditory signal or notification often used by devices to attract attention or indicate an alert.

Electric Shock

A sudden discharge of electricity through a part of the body causing injury or neurological disturbance.

Extinction

In psychology, the gradual weakening and disappearance of a conditioned response, typically as a result of the conditioned stimulus being presented without reinforcement.