NO.PZ2022122601000033
问题如下：
The real estate team uses an in-house model for private real estate to estimate the true volatility of returns over time. The model assumes that the current observed return equals the weighted average of the current true return and the previous observed return. Because the true return is not observable, the model assumes a relationship between true returns and observable REIT index returns; therefore, it uses REIT index returns as proxies for both the unobservable current true return and the previous observed return.
Based on the
private real estate model developed to estimate return volatility, the true
variance is most likely:
选项：
A.lower than the variance of the observed data
B.approximately equal to the variance of the observed data.
C.greater than the variance of the observed data
解释：
Correct Answer: C
The in-house model assumes that the current observed return equals the weighted average of the current true return and the previous observed return. The model uses REIT index returns as proxies for the returns in the model. The smoothed nature of most published (observed) real estate returns is a major contributor to the appearance of low correlation with financial assets. This smoothing dampens the volatility of the observed data and distorts correlations with other assets. Thus, the raw observable data tend to understate the risk and overstate the diversification benefits of these asset classes. It is generally accepted that the true variance of real estate returns is greater than the variance of the observed data.
中文解析：
内部模型假设当前观察到的收益等于当前真实收益与之前观察到的收益的加权平均值。该模型使用REIT指数回报作为模型中回报的代理。大多数公布的(观察到的)房地产回报的平滑性质是与金融资产低相关性出现的主要原因。这种平滑抑制了观测数据的波动性，并扭曲了与其他资产的相关性。因此，原始的可观察数据往往低估了这些资产类别的风险，而夸大了这些资产类别的多样化收益。一般认为房地产收益的真实方差大于观测数据的方差。
解析和答案不符合，是否有误？
