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基德王道 · 2019年07月11日

问一道题:NO.PZ2019040801000071 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

题目问的难道不是门特卡罗模拟的优点吗?d是不是太过牵强了

1 个答案

品职答疑小助手雍 · 2019年07月11日

同学你好,蒙特卡洛可以选取肥尾的variable进行输入,不一定非要是服从正态分布的。正常来说,缺点4应该是:输入变量与实际分布不同会导致结果有偏差。

D选项的描述严格来说是个错误描述,但题目问的不是优点,问的是哪个不是缺点。。。那么。。。只有这个选项不是描述的缺点。over

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NO.PZ2019040801000071 问题如下 Monte Carlo simulation is flexible anallow financiengineering to pricomplex financiinstruments, Whiof the following statements is not a saantage of the Monte Carlo technique when solving problems ? A.High computationcosts arise with complex markets anissues. B.Results of most Monte Carlo experiments are fficult to replicate. C.Simulation results are experiment-specific because financiproblems are analyzebaseon a specific ta generating process anset of equations. SinMonte Carlo simulations always ranm variables from a normally stributepopulation, they are not accurate when the input variables have ftails. is correct考点Monte Carlo缺点解析蒙特卡洛模拟的输入变量或者参数不一定非要服从正态分布,可以根据实际情况进行调整,分布来满足试验的需求。其缺点主要在于使用分布和实际分布不一致会导致试验结果的偏差。 MCS的计算公式里面不是隐含了正态分布的假设吗?为什么对的

2024-10-02 12:40 1 · 回答

NO.PZ2019040801000071问题如下Monte Carlo simulation is flexible anallow financiengineering to pricomplex financiinstruments, Whiof the following statements is not a saantage of the Monte Carlo technique when solving problems ?A.High computationcosts arise with complex markets anissues.B.Results of most Monte Carlo experiments are fficult to replicate.C.Simulation results are experiment-specific because financiproblems are analyzebaseon a specific ta generating process anset of equations.SinMonte Carlo simulations always ranm variables from a normally stributepopulation, they are not accurate when the input variables have ftails.is correct考点Monte Carlo缺点解析蒙特卡洛模拟的输入变量或者参数不一定非要服从正态分布,可以根据实际情况进行调整,分布来满足试验的需求。其缺点主要在于使用分布和实际分布不一致会导致试验结果的偏差。因为蒙特卡洛不要求正态分布,所以ftail时也可以精确。所以错了,因此不属于缺点,是这么理解么?有点绕蒙了

2022-04-24 08:00 1 · 回答

Whiof the following statements is not a saantage。。。?这道题我理解的是问MCS的优点。看了解析说是缺点,所以没理解

2020-07-30 22:39 1 · 回答

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2020-06-01 06:37 2 · 回答