"Monotonicity" Is the Requirement of a Risk-Measure That If Portfolio

"Monotonicity" is the requirement of a risk-measure that if Portfolio A dominates Portfolio B (in the sense of always doing at least as well as B in every state of the world and strictly better in some states) ,then the risk of Portfolio A should be less than the risk of Portfolio B.Which of the following statements is correct?

A) Standard deviation (SD) fails to satisfy monotonicity.
B) Value-at-Risk (VaR) fails to satisfy monotonicity.
C) Expected shortfall (ES) fails to satisfy monotonicity.
D) All three of these portfolio risk-measures (SD,VaR,and ES) fail monotonicity.

Correct Answer:

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Access For Free