在印度的投资above-average economic risk是什么样的分布？

问题如下：

Given Hamilton’s expectations, which of the following models is most appropriate to use in estimating portfolio VaR?

选项：

A.

Parametric method

B.

Historical simulation method

C.

Monte Carlo simulation method

解释：

C is correct.

The Monte Carlo simulation method can accommodate virtually any distribution, an important factor given the increased frequency of large daily losses. This method can also more easily accommodate the large number of portfolio holdings. The Monte Carlo method allows the user to develop her own forward-looking assumptions about the portfolio’s risk and return characteristics, unlike the historical simulation method, which uses the current portfolio and re-prices it using the actual historical changes in the key factors experienced during the look-back period. Given the limited return history for infrastructure investments and Hamilton’s expectations for higher-than-normal volatility, the historical simulation method would be a suboptimal choice.

考点： 计量VaR的方法对比

解析：

A选项： 由于在印度的投资above-average economic risk，所以不服从正态分布，因此不能使用parametric method

B选项：由于 Infrastructure 只有limited return history，所以数据量少，不能使用Historical simulation method。

C选项：正确。