FRM II-RM3

anbu.edu
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FRM II-RM3

Postby anbu.edu » Thu Aug 21, 2014 8:49 am

Which of the following best describes marginal risk for a portfolio? It is the:
A) dollar change in portfolio VaR from an additional investment.
B) per unit change in portfolio risk from an additional investment.
C) dollar change in portfolio beta from an additional investment.
D) risk level at which no additional investment will be made in an asset of insufficient expected utility.

Your answer: B was correct!
Marginal risk is the per unit change in portfolio risk from an additional investment. Component VaR is the dollar
change in portfolio VaR from an additional investment.

I thought answer A is correct can anyone provide clarity regarding this
Source: Schweser

edupristine
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FRM II-RM3

Postby edupristine » Sat Aug 23, 2014 11:37 am

The question is asking for the best explanation of marginal risk for a portfolio. So if we are talking about marginal risk,return etc it means measure of value in terms of per unit.


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