题目
Which of the following statements about simulation is invalid?
选项
A.The historical simulation approach is a nonparametric method that makes no specific assumption about the distribution of asset returns.
B.When simulating asset returns using Monte Carlo simulation, a sufficient number of trials must be used to ensure simulated returns are risk neutral.
C.Bootstrapping is an effective simulation approach that naturally incorporates correlations between asset returns and non-normality of asset returns, but does not generally capture autocorrelation of asset returns.
D.Monte Carlo simulation can be a valuable method for pricing derivatives and examining asset return scenarios.
答案
B
解析
Risk neutrality has nothing to do with sample size.风险中立性与样本量无关。