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wuzx · 2022年07月29日

请老师帮忙解答

* 问题详情,请 查看题干

NO.PZ201904080100002102

问题如下:

The database of a large information organization divides the fund managers into good and medium. The data shows that the probability of a good fund manager and a medium fund manager outperforming the market is 75% and 55% respectively, assuming that the performance of the fund managers is independent of his prior year performance. And the database manager believes that only 10% of fund managers are good. Suppose a new fund manager has consistently outperformed the market for three consecutive years since he started.


2. Using the Bayesian approach,what is the approximate probability that the new manager will outperform the market next year ?

选项:

A.

58.48%.

B.

63.94%.

C.

59.40%.

D.

80.00%.

解释:

C is correct

考点:贝叶斯公式

解析:因为每个基金经理每年的业绩都是相互独立的,所以下一年的业绩与之前无关,下一年的业绩只与他是好的基金经理还是中等的有关,而第一题中我们计算出他是中等基金经理的概率是77.97%,好的基金经理的概率是1-77.97%=22.03%

所以根据贝叶斯公式

P(O) = P(O|G) x P(G) + P(O|M) x P(M)

=0.2203*75%+0.7797*55%

=16.52%+42.88%

=59.40%

题目说是每年业绩相互独立,所以第四年表现和前几年没关系,为什么不能用10%* 75% +90% *55%计算下一年的表现呢?

1 个答案

李坏_品职助教 · 2022年07月29日

嗨,爱思考的PZer你好:


10%说的是在所有manager里面大约10%是good(这个是先验概率,等于无脑猜出来的)。经过第一小问,我们已经把10%这个粗糙的先验概率修正为了后验概率(22.03%)。


第二题问的是现在这个new manager,他outperform的概率是多少。我们就得用比较精确的后验概率来算了。


注:后验概率是经过一些事实和数据(连续三年跑赢大盘),用贝叶斯公式对先验概率进行的修正。

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