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aileen20180623 · 2022年12月07日

这题的公司怎么算出0.3595

* 问题详情,请 查看题干

NO.PZ202208220100000507

问题如下:

Determine, using the significant variable(s) in Logistic Regression 2 and the information provided, which of the following is closest to the probability of the Alpha ETF being a winning fund and whether it would be classified as a winning fund.

Alpha ETF variable values: small_fund = 0, medium_fund = 0, portfolio_stocks= 99.3%, portfolio_bonds = 0.7%, price_earnings = 25.0, price_book =1.1, price_sales = 4.0, and price_cashflow = 5.7.

Use significance level of 5% and probability threshold for being a winner of 65%.

选项:

A.27.4%, and the Alpha ETF is not classified as a winning fund B.36.0%, and the Alpha ETF is not classified as a winning fund C.82.2%, and the Alpha ETF is classified as a winning fund

解释:

B is correct. Besides the significant intercept, the only significant (at 5% level) variable in Logistic Regression 2 is price_sales. Using these factors, the probability of this ETF being a winning fund is calculated to be 35.95%, as follows:


Because this probability is well below the 65% threshold for being a winner, the Alpha EFT would not be classified as a winning fund.


我算出来的计算不等于0.3595,等于65%,我不太明白这题的思路,首先sales判断出来是看的上一道题问题,可是这个winning 是大于5%或者65%的意思?那这个公式是?

1 个答案

星星_品职助教 · 2022年12月08日

同学你好,

题干要求只使用“using the significant variables”,所以根据p-value(即表格中的“p-value>|z|列”)进行判断,发现只有intercept和 price_sales的p-value小于0.05,即只有这两者是significant的,所以方程化简为:

Ln p/1-p =-1.9589 + 0.3453× price_sales,

代入 price_sales=4.0后,得到Ln p/1-p -0.5777.

此后方程两边取“e”,得到p/1-p=0.5612,进而解出p=0.3595.

-----

由于题干设定的“winning”概率门槛为65%,即解出来的p>65%才可以归类为winning。35.95%小于了这个门槛值,所以该fund就不是一只winning fund。


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