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506623496 · 2024年01月20日

B选项哪里不对

NO.PZ2023032703000070

问题如下:

Which of the following statements best describes methods for assessing portfolio tail risk?

选项:

A.Parametric methods use expected value and standard deviation of risk factors under a normal distribution and are well suited for option-based portfolios.

B.

Historical simulation methods use historical parameters and ranking results and are not well suited for option-based portfolios.

C.

Monte Carlo methods generate random outcomes using portfolio measures and sensitivities and are well suited for option-based portfolios.

解释:

C is correct. Parametric methods in A are not well suited for non-normally distributed returns or option-based portfolios, while historical simulation assumes no probability distribution and accommodates options.

B选项错在哪呢,不太理解

1 个答案
已采纳答案

pzqa31 · 2024年01月20日

嗨,从没放弃的小努力你好:


错在不适用于option based portfolios。option based portfolio的return不服从正太分布,因此用参数法不太准确,但历史模拟法既然把历史的真实数据都获得了,那么就不需要任何分布的假设了,可以用来分析option based option,但是历史模拟法的缺点是历史不能代表未来。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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