NO.PZ2019070101000014
问题如下：
Which of the following is incorrect about expected shortfall (ES)?
选项：
A. ES has a normal distribution assumption.
B. ES satisfies all of the properties of coherent risk measurements.
C. ES provides an estimate of how large a loss may be.
D. ES is more appropriate for solving portfolio optimization problems than the VaR method.
解释：
A is correct.
考点：Expected Shortfall.
解析：expected shortfall 没有正态分布的假设，A选项说法错误。选A。
expected shortfall 满足所有一致性风险测量的特点，B选项正确。expected shortfall 计算了大于VaR的损失的平均值，所以它可以告诉我们损失的大小。C正确。由于expected shortfall 满足次可加性，所以它的图形是凸向原点的，因此我们可以找到一个风险的最低点，也就是可以找到一个风险最小的组合，所以更适合解决portfolio最优化的问题。D正确。
满足次可加性和凸向原点有什么关系呀？