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Question 6 Which of the following statements is incorrect? a) Confidence interval around per-annum expected return usually narrows with investment horizon. b) Confidence interval around

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Question 6 Which of the following statements is incorrect? a) Confidence interval around per-annum expected return usually narrows with investment horizon. b) Confidence interval around wealth can either widen or narrow with investment horizon. c) Variance is a linear function of time horizon only if returns are independent. d) Risk as measured by a shortfall constraint depends on the mean and variance of returns. e) Risk as measured by a shortfall constraint does not depend on investment horizon

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