单选题 Is the true risk of losses of hedge funds using arbitrage strategies most likely to be understated if that risk is measured by: Standard deviation? Traditional value at risk(VaR) measures? ①A. No No ②B. Yes Yes ③C. Yes No

A、

A. ①
B、

B. ②
C、

C. ③

【正确答案】 B

【答案解析】Arbitrage strategies result in option-like distributions that violate the assumption of normal distributions. Hedge funds using these strategies tend to bias traditional measures o frisk such as standard deviation and traditional VAR; the risk or loss is understated.