第六版handbook例题16.5

In early 2000,a risk manager caculates the VAR for a technology stock fund based on the past three years of data. The strategy of the fund is to buy stocks and write out-of-the-money puts. The manager needs to compute VAR. Which of the following methods would yeild results that are least representative of the risks inherent in tne portfolio?
a. Historical simulation with full repricing
b.Delta-normal VAR assuming zero drift
c. Monte Carlo style VAR assuming aero drift with full repricing
d. Historical simulation using delta equivalents for all positions

ans:d.   Because the portfolio has options, methods a. or c. based on full repricing would be appropriate.Next,recall that technoloy stocks had a big increase in price until Mar. 2000. From 1996-1999,the NASDAQ index went from 1300to 4000.This creats a positive drift in the series of returns, So,historical simulation without an adjustment for this drift would bias the simulated returns upward,thereby underestimating VAR.


看不懂答案，b、d 选项为什么对错，以及positive drift 为什么会导致低估VAR,恳请大虾帮忙解释一下，非常感谢！！！！！