NO.PZ2021101401000009
问题如下：
Yuen and Ruckey design a Benchmark Portfolio (A) and a Risk Parity Portfolio (B), and then run two simulation methods (the historical simulation and Monte Carlo simulation) to generate investment performance data based on the underlying nine factor portfolios.
Historical simulation differs from Monte Carlo simulation in that:
选项：
A.
it is deterministic.
B.
a functional form of the statistical distribution for each decision variable needs to be specified.
C.
it assumes that sampling the returns from the actual data provides sufficient guidance about future asset returns.
解释：
C is correct. Historical simulation assumes that past asset returns provide sufficient guidance about future asset returns.
A is incorrect because both approaches are non-deterministic and random in nature.
B is incorrect because in historical simulation each random variable of interest (key driver and/or decision variable) is randomly drawn from historical data. A functional form of the statistical distribution of returns for each decision variable needs to be specified for a Monte Carlo simulation.
the fund will undertake hedging activities……15million，这句话难道不是在说明scenario limits 吗？
