问一道题：NO.PZ2015120204000060

问题如下：

Alicia Maxwell, an analyst for a REIT, is evaluating the potential purchase of a hotel property. She plans to use simulation analysis to estimate the distribution of the property’s annual operating cash flow for the next five years.
Maxwell recognizes that annual gross revenue for the property depends on the nightly room rate and the occupancy rate. She believes that the primary driver for the nightly room rate is the Employment Cost Index (ECI) and that the primary driver for the occupancy rate is the Consumer Sentiment Index (CSI). In the process of simulating revenues, she examines the ECI and the CSI quarterly over the past 20 years and their relation to the nightly room rate and occupancy rates of the REIT’s existing properties, respectively. She estimates the following:
Nightly room rate = $23 + 0.9(ECIt–1)
Occupancy rate = 0.25 + 0.7(CSIt–1)
Occupancy rates are assumed to be non-negative and cannot exceed 100%.

Maxwell generates 10,000 trials of the ECI and CSI based on the historical mean level of the indexes and their monthly standard deviations. Although the distribution of historical CSI is not symmetric, she assumes that both ECI and CSI are normally distributed. Maxwell is aware that if the inputs are correlated, this may present a problem. She also observes that the CSI and the ECI are correlated with one another and that the relation between the CSI and the occupancy rate is stronger than that between the ECI and nightly room rates. Maxwell estimates the corresponding nightly room rate and the occupancy rate based on these historical relations, multiplies these by the number of hotel nights in a year, and generates 10,000 estimates of annual gross revenue.

Based on the results of the simulation analysis, the REIT acquires the hotel. One year later, the REIT is considering the acquisition of another hotel, and Maxwell wants to use the same simulation model. Based on an analysis of the hotel industry, Maxwell notes that recent mergers in the industry have affected competition in the market in which this hotel operates. Consequently, Maxwell needs to update the simulation model.

Considering industry changes over the past year, one update that Maxwell should make to the simulation model is the:

选项：

choice of the distribution of CSI and ECI.
 

relation between CSI and occupancy rates.
 

removal of constraints on occupancy rates.
 

解释：

B is correct. Even when the data fits a statistical distribution or when historical data distributions are available, shifts in the market structure can lead to shifts in the distributions as well. In some cases, these shifts can change the form of the distribution, and in other cases, they can change the parameters of the distribution. Thus, relations from historical data for an input may change for the next period, affecting the relation between the nightly room rate and CSI, as well as the relation between the occupancy rate and ECI. The constraints on the occupancy rates are necessary because without them, there may be unrealistic results (such as negative rates or rates exceeding 100%). Further, the choice of the distributions of CSI and ECI is not mentioned to be affected by the changes in the industry over the past year; rather, the relation between CSI and occupancy rates may change.