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LPoulin133

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tT
发表于 2011-7-11 19:43 | 只看该作者
The portfolio's monthly value at risk, as opposed to shortfall risk and standard deviation, determines the most the portfolio can lose in any month.

True or False?



Edited 1 time(s). Last edit at Wednesday, May 25, 2011 at 10:51PM by deriv108.
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Darien

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2#
发表于 2011-7-11 19:43 | 只看该作者
false. shows the amount it can be expected to at least exceed

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ohai

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3#
发表于 2011-7-11 19:43 | 只看该作者
False. VAR and shortfall risk are unable to determine the extent of the worst losses.

However, the way your question is worded is somewhat misleading. At a given confidence level, VAR can indeed tell you the maximum your portfolio is expected to lose.

NO EXCUSES

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bkballa

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4#
发表于 2011-7-11 19:43 | 只看该作者
false , not worst

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