A-

The coefficient of determination, R2, measures the percentage of the variance of the return of the portfolio that is explained by the variance of the market. Therefore, the higher R2, the greater diversification of the investment portfolio the fund manager is achieving.

a. Certain

b. False

B-

Value at risk (VaR) is a measure that is known as all of the following, except:

a. market risk premium

b. price of risk

c. demanded reward per volatility unit

d. degree of risk aversion