题目
Which of the following statements is true?
选项
A.The nominal returns of U.S. Treasury bills are risk-free returns.
B.Predicted variance is always greater than historical variance.
C.When using historical data to determine expected return inputs into a mean-variance portfolio optimization model, the longest possible time frame is best.
D.Treasury bill returns tend to be positively auto-correlated and this implies that T-bills are effectively a decreasingly risky asset as the investment time horizon grows.
答案
B
解析
In regard to A, this is false due to inflation risk.In regard to C, this is false. Characteristics of security returns usually change over time. Thus, there is a trade- off between using a long time frame to improve the estimates and having potentially inaccurate estimates from the longer time period because the security characteristics have changed. Because of this conflict, most analysts modify historical estimates to reflect their beliefs about how current conditions differ from past conditions.In regard to D, the opposite: positive autocorrelation increases volatility (above the square root of time)关于A，由于有通胀风险，这是错误的。关于C，这是错误的。 安全收益的特征通常随时间而变化。 因此，由于安全特性已发生变化，因此在使用较长的时间范围以改善估计值与在较长的时间段内可能存在不准确的估计值之间要进行权衡。 由于这种冲突，大多数分析家修改了历史估计，以反映他们对当前状况与过去状况有何不同的观念。关于D，反例：正自相关会增加波动性（高于时间的平方根）。