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

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.

Correct Answer:

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