Is the true risk of losses of hedge funds

问题单项选择题

Is the true risk of losses of hedge funds using arbitrage strategies most likely to be understated if that risk is measured by: Standard deviationTraditional value at risk(VaR) measures （）①A. No No ②B. Yes Yes ③C. Yes No

A. ①

B. ②

C. ③

答案

参考答案：B

解析：

Arbitrage strategies result in option-like distributions that violate the assumption of normal distributions. Hedge funds using these strategies tend to bias traditional measures o frisk such as standard deviation and traditional VAR; the risk or loss is understated.