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Basic Question 2 of 5
Consider the following statements:
II. Investment choices can also be evaluated by only looking at the downside risk.
III. The risk that a portfolio value falls below an acceptable level during a certain time frame is called shortfall risk.
I. The whole distribution of returns can be summarized by its mean and variance if the distribution is normal.
II. Investment choices can also be evaluated by only looking at the downside risk.
III. The risk that a portfolio value falls below an acceptable level during a certain time frame is called shortfall risk.
Which of the above statements is not true?
User Contributed Comments 2
| User | Comment |
|---|---|
| danlan | II means the use of safety-first criterion, I think. |
| ajit | Read..Forest...Read |
I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
define shortfall risk, calculate the safety-first ratio, and identify an optimal portfolio using Roy's safety-first criterion
CFA® 2024 Level I Curriculum, Volume 1, Module 5.