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university of central arkansas Operations And Supply Chain Management Assignment Help - The historical


Question - Which of the following statement about simulation is invalid?
a. The historical simulation approach is a nonparametic method that makes no specific assumption
about the distribution of asset returns.
b. W hen simulating asset returns using Monto Carlo simulation, a sufficient number of trails 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.

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