NO.PZ2017092702000083
问题如下:
If the probability that a portfolio outperforms its benchmark in any quarter is 0.75, the probability that the portfolio outperforms its benchmark in three or fewer quarters over the course of a year is closest to:
选项:
A.0.26
B.0.42
C.0.68
解释:
C is correct.
The probability that the performance is at or below the expectation is calculated by finding F(3) = p(3) + p(2) + p(1) + p(0) using the formula:
Therefore
F(3) = p(3) + p(2) + p(1) + p(0)= 0.42 + 0.20 + 0.06 + 0.004= 0.684 or approximately 68 percent.
这道题要求的是outperforms its benchmark in“ three or fewer quarters ”。所以包括了两种情况:
①正好有3个季度超过benchmark
②超过benchmark的季度数少于3个季度(2个,1个和0个季度)
所以列式是 p(3) + [p(2) + p(1) + p(0)]
计算只涉及到二项分布的公式。
本题中,一共四个季度,所以n=4;成功概率为0.75,所以失败概率就是1-0.75=0.25
以P(3)也就是成功3次(x=3)为例:此时相当于4次里面成功(outperform)了3次,还有1次就必须不成功。
代入公式:4C3× 0.75^3 × 0.25^1=0.4219
请问能不能这样算,任一季度超过benchmark的概率是0.75,要求至多三个季度超过benchmark的概率,等于1减去四个季度都超过benchmark的概率,就是1-0.75*4=0.6835