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To accurately determine whether the new risk measure W exhibits the property of translation invariance, which of the following tests should the Chief Risk Officer (CRO) employ?
A
When cash is added to a portfolio, the value of W for that portfolio should decrease by the amount of cash that is added.
B
When W is used to measure the risk of two portfolios A and B, then W(A) + W(B) should be less than or equal to W(A+B).
C
When W is used to measure the risk of two portfolios A and B, and if portfolio A always produces a worse outcome than portfolio B, then W(A) should always be higher than w(B).
D
When W is used to measure the risk of portfolio A, and if all exposures in portfolio A are increased by a constant factor, then W(A) should increase proportionally by that factor.
