C选项

问题如下：

Which of the following statements about expected shortfall (ES) is incorrect?

选项：

A.

ES provides a consistent risk measure across different positions and takes account of correlations.

B.

ES tells what to expect in bad states: It gives an idea of how bad the portfolio payoff can be expected to be if the portfolio has a bad outcome.

C.

ES-based rule is consistent with expected utility maximization if risks are ranked by a second-order stochastic dominance rule.

D.

Like VAR, ES does not always satisfy subadditivity (i.e., the risk of a portfolio must be less than or equal to the sum of the risks of its individual positions).

解释：

D is correct. ES, like VAR, does provide a consistent measure of risk that takes diversification into account, so statement Unlike VAR, however, CVAR is a sub-additive risk measure.