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

question 31

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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