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Which of the following is NOT a reason that the expected shortfall (ES) is a more appropriate risk measure than value at risk (VAR)? A. ES has less restrictive assumptions regarding risk/return decision rules than VAR. B. ES gives an estimate of the magnitude of a loss. C. For non-elliptical distributions, the portfolio risk surface formed by holding period and confidence level is more convex for ES. D. For normal distributions, only ES satisfies all the properties of coherent risk measures. |