NO.PZ2023091701000100
问题如下：
The historical simulation approach is more likely to provide an accurate estimate of the VaR than the Risk Metrics approach for a portfolio that consists of:
选项：
A.A small number of emerging market securities.
B.A small number of broad market indexes.
C.A large number of emerging market securities.
D.A large number of board market indexes.
解释：
The Risk Metrics approach is a delta-normal model that requires the returns to be approximately normally distributed, while the historical simulation model requires much less stringent assumptions. The returns on a portfolio with small number of securities is less likely to be normally distributed than a larger portfolio and an emerging markets index is less likely to be normally distributed than a broad market index. Therefore the historical simulation approach will most likely provide a better VaR estimate than Risk Metrics for a portfolio with a small number of emerging market securities.
老师，board market indexes是什么意思呢？
这题是不是有点变扭，感觉A没解释historical simulation 为什么估计var更准确，是想说因为包含了很少的新型市场数据，偏离度不高？
