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92#
发表于 2012-3-22 15:27
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A drawback of historical simulation is it: A)
| depends on the accuracy of the random number generator. |
| B)
| may not accurately reflect possible outcomes. |
| C)
| may not account for very rare events. |
|
There are two major problems with historical simulation. The first is that it cannot account for events that do not occur in the sample. If a security began trading after 1987, for example, there would be no evidence of its behavior in a market crash. The other drawback is that the analyst cannot change the parameters of the distribution to examine how small changes might affect the asset’s behavior. |
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