easy · FRM Part 1
The 'Monotonicity' axiom, which Expected Shortfall satisfies, states that:
- If portfolio X always has lower losses than portfolio Y, then the risk of X must be lower than Y.
- Adding a constant amount of risk to a portfolio always increases the Expected Shortfall.
- The risk of a portfolio is proportional to its expected return.
- Risk increases linearly as the holding period increases.
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