If every position in a portfolio is doubled in size,the risk contribution of the original portion of the portfolio,as measured by VaR,will
A)Remain the same as before.
B)Double.
C)Halve.
D)More than double.

Question

Quizplus · Accepted Answer

By the linear homogeneity property,the VaR will exactly double.The capital required will also double.And the risk contribution of the original component of the portfolio will remain the same.

If Every Position in a Portfolio Is Doubled in Size,the