题目：
Is the true risk of losses of hedge funds using arbitrage strategies most likely to be understated if that risk is measured by: Standard deviationTraditional value at risk(VaR) measures （）①A. No No ②B. Yes Yes ③C. Yes No
A. ①
B. ②
C. ③
答案：
参考答案：B
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.
