NO.PZ2016070202000011
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.
请问老师，选项A中ES考虑correlation是怎么解释的，谢谢
