问一道题：NO.PZ201512020300000706

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.
Revenue Construction
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.
Expense Assumptions
Maxwell examines current expenses for the REIT’s other hotel properties and selects the distributions for the simulation of operating expenses and management fees. Maxwell estimates operating expenses to be uniformly distributed between 68% and 70% of revenues and that the property management fee for the hotel is uniformly distributed between 5.9% and 6.1% of total annual revenue.
Simulation Results and Analysis
Maxwell has three concerns regarding the results from the simulation trials:

Concern 1: Although the distribution of historical CSI is slightly skewed, Maxwell uses the normal distribution to simulate the monthly CSI.

Concern 2: Property management firms may demand higher property management fees (that is, a higher percentage of revenue) when the CSI is lower

Concern 3: When comparing the distribution of CSI over the past 20 years with those of the past 30 years, she notices a substantial difference in the mean and standard deviation of the CSI distribution.

In completing her analysis, Maxwell considers her choice of simulation analysis over alternative approaches, such as decision trees and scenario analysis, to be justified. Although scenario analysis and decision trees both consider possible outcomes, neither can be used easily when correlated variables are present, as is the case with CSI and ECI. Further, she notes that, compared with scenario analysis and decision trees, simulation is best suited for continuous risks, whether they be concurrent or sequential.

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.

Maxwell’s justifications for her choice of simulation analysis are correct with respect to:

选项：

correlated risks.

continuous risks.

both correlated risks and continuous risks.

解释：

C is correct. Correlated risks are difficult to model in decision trees. In addition, adjusting scenario analysis for correlated risks is subjective. Scenario analysis and decision trees are generally built around discrete outcomes in risky events, whereas simulations are better suited for continuous risks. Further, if the various risks to which an investment is exposed are correlated, simulations allow for explicitly modeling these correlations if they can be estimated.