开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

amarelleqy · 2021年07月11日

难道三种方法中,只有decision tree才不能解决correlation的问题吗?simulation跟scenario应该都可以解决吧?

* 问题详情,请 查看题干

NO.PZ201512020300000706

问题如下:

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

选项:

A.

correlated risks.

B.

continuous risks.

C.

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.

难道三种方法中,只有decision tree才不能解决correlation的问题吗?simulation跟scenario应该都可以解决吧?

1 个答案

星星_品职助教 · 2021年07月11日

同学你好, scenario可以解决,但需要对correlation做主观判断,所以文中描述“not easily”是正确的