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When would a Monte Carlo simulation be preferable...

发表时间:2018-03-19 15:59
作者:FRM
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When would a Monte Carlo simulation be preferable to a historical simulation?

A) Historical data does not produce favorable results.

B) There is only a small amount of historical data.

C) Insufficient computer capacity.

D) A large amount of historical data is available.

自己先做~

做完之后滑这儿,就能对答案





 

 
A was incorrect.
 
Historical simulation is most applicable if there is a large sample of past returns to draw from. The computer capacity necessary for each is about the same, and certainly the occurrence of unfavorable results is no reason to reject historical simulation.

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2018年05月2018年11月
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