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Which of the following is NOT a correct description of a coherent risk measure property?
I. Homogeneity – the size of a portfolio will impact the size of its risk.
II. Monotonicity – a portfolio with greater future returns will likely have less risk.
III. Subadditivity – the risk of a portfolio is always more than the risk of the assets within the portfolio.
IV. Translation invariance - the risk of a portfolio is independent of the assets within the portfolio.
A. I and II.
B. I and III.
C. III and IV.
D. II and III.
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