NO.PZ202110140100000407
问题如下：
To address Concern 3 when designing Approach 1, Yuen should:
选项：
A.add monthly return observations to the dataset using interpolation.
B.randomly sample from the historical returns with replacement.
C.choose the multivariate normal distribution as the initial functional form.
解释：
B is correct. Random sampling with replacement, also known as bootstrapping, is often used in historical simulations because the number of simulations needed is often larger than the size of the historical dataset. Because Approach 1 is a historical simulation and Concern 3 notes that the number of simulations needed is larger than the size of the historical dataset, bootstrapping should be used.
A is incorrect because this approach would result in creating observations that
do not exist in the historical record. Doing so would violate the assumption and
procedures of historical simulation.
C is incorrect because choosing the multivariate normal distribution as the initial functional form is typically done in a Monte Carlo simulation (Approach 2), not in a historical simulation (Approach 1). Historical simulation randomly samples from the historical dataset by drawing a number from a uniform distribution so that there is equal probability of being selected. Choice of distribution would not address the concern about the size of the dataset.
老師，對於正態分佈跟多元正態分佈兩者的差異及應用場景能否再說明一些，我感覺目前只能直覺的反應出多元正態分佈就是蒙特卡洛下使用的，但確切為何要使用，以及什麼情況下使用還是挺模模糊糊的
