前面有一个经典题，不选intrday trading,这一题又选的原因是什么呢

问题如下：

A portfolio risk analyst, who specializes in large capitalization US stocks, is backtesting the firm’s VaR model using two procedures: Procedure A: Using the “actual return” approach ,the analyst measures the returns on a portfolio based upon the change in market values of the assets hold in the portfolio from the close of each business day to the close of the next business day. Procedure B: Using the “hypothetical return” approach ,the analyst measures the returns on a portfolio based upon the change in market values of the assets held in the portfolio from the close of each business day to the close of the next business day, keeping all positions fixed. The two procedures result in significantly different numbers of exceptions. The most likely cause of the different number of exceptions is:

选项：

A.Poor calibration of the VaR model. B.Intraday trading in the portfolios. C.Incorrect return distribution assumptions used in Procedure A. D.The reduction of hypothetical returns by commission fees.

解释：

This is because intraday trading would affect the actual return (Procedure A) but would not be accounted for in the hypothetical return (Procedure B). Thus, the discrepancies in exceptions between the two methods would likely arise from the presence of intraday trading.