问题如下：
In early 2000, a risk manager calculates the VAR for a technology stock fund based on the past three years of data. The strategy of the fund is to buy stocks and write out-of-the-money puts. The manager needs to compute VAR. Which of the following methods would yield results that are least representative of the risks inherent in the portfolio?
选项：
A.Historical simulation with full repricing
B.Delta-normal VAR assuming zero drift
C.Monte Carlo style VAR assuming zero drift with full repricing
D.Historical simulation using delta equivalents for all positions
解释：
D is correct.
Because the portfolio has options, methods A or C based on full repricing would be appropriate. Next, recall that technology stocks had a big increase in price until March 2000. From 1996 to 1999, the NASDAQ index went from 1,300 to 4,000. This creates a positive drift in the series of returns. So, historical simulation without an adjustment for this drift would bias the simulated returns upward, thereby underestimating VAR.
看了前面的答案。还是有两个疑问。1) 为什么historical simulation在互联网泡沫的背景下肯定是高估的？因为收益upward drift，相当于右偏，算出来的VAR不应该是更低么？2) 在那个阶段，full pricing为什么都还算是好用的？
