"Alternative Investments":Risk value of alternative investment

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来源: 正保会计网校编辑：小鞠橘桔 2021/03/22 10:12:12　字体：大小

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Questions 1:

The value at risk of an alternative investment is best described as the:

A、 probability of losing a fixed amount of money over a given time period.

B、 minimum amount of loss expected over a given time period at a given probability level.

C、 time period during which a fixed amount is lost at a given probability level.

Questions 2:

A measure that is most likely well suited to analyzing the performance of alternative investments that may exhibit negative skewness in returns is the:

A 、Sortino ratio.

B、 Sharpe ratio.

C 、safety-first measure.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Value at risk is defined as the minimum amount of loss expected over a given time period at a given probability level.

A is incorrect. Value at risk is defined as the minimum amount of loss expected over a given time period at a given probability level.

C is incorrect. Value at risk is defined as the minimum amount of loss expected over a given time period at a given probability level.

【Answer to question 2】A

【analysis】

A is correct. The Sharpe ratio and the safety-first measure use standard deviation as the measure of risk, which ignores the negative skewness in returns. The Sortino ratio uses the downside deviation as the measure of risk, which will reflect negative skewness if present.

B is incorrect because the Sharpe ratio does not reflect negative skewness if present.

C is incorrect because the safety-first measure does not reflect negative skewness if present.

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