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Part II
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Market Risk
Market Risk
Hard
At the optimal risk-return portfolio, the ratio of expected excess return to marginal VaR should be:
A
Equal across all positions in the portfolio
B
Highest for the position with the largest weight
C
Zero for all positions, indicating no marginal risk
D
Proportional to each position's beta with the market
Select an answer to continue
Tags
#marginal-var
#optimal-portfolio
#risk-budgeting
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