NO.PZ202105270100000403
问题如下：
Based on the private real estate model developed to estimate return volatility, the true variance is most likely:
选项：
A.lower than the variance of the observed data. B.approximately equal to the variance of the observed data. C.greater than the variance of the observed data.解释：
C is correct.
The in-house model assumes that the current observed return equals the weighted average of the current true return and the previous observed return. The model uses REIT index returns as proxies for the returns in the model. The smoothed nature of most published (observed) real estate returns is a major contributor to the appearance of low correlation with financial assets. This smoothing dampens the volatility of the observed data and distorts correlations with other assets. Thus, the raw observable data tend to understate the risk and overstate the diversification benefits of these asset classes. It is generally accepted that the true variance of real estate returns is greater than the variance of the observed data.
内部模型假设当前的观测收益等于当前真实收益和之前观测收益的加权平均值。该模型使用REIT指数回报作为模型中的回报。大多数公布的(观察到的)房地产回报的平滑性质是其与金融资产相关性较低的主要原因。这种平滑降低了观测数据的波动性，扭曲了与其他资产的相关性。因此，原始的可观察数据往往低估了这些资产类别的风险，而高估了这些资产类别的多元化收益。一般认为，房地产收益的真实方差大于观测数据的方差。
如题
