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Pavel Korchagin · 2023年01月30日

感觉这题目有点问题

NO.PZ2017092702000064

问题如下:

After estimating the probability that an investment manager will exceed his benchmark return in each of the next two quarters, an analyst wants to forecast the probability that the investment manager will exceed his benchmark return over the two-quarter period in total. Assuming that each quarter’s performance is independent of the other, which probability rule should the analyst select?

选项:

A.

Addition rule

B.

Multiplication rule

C.

Total probability rule

解释:

B is correct.

Because the events are independent, the multiplication rule is most appropriate for forecasting their joint probability. The multiplication rule for independent events states that the joint probability of both A and B occurring is P(AB) = P(A)P(B).

基金经理估计了两个概率,这两个概率是未来两个季度里,每个季度各自超过benchmark的概率。根据这两个概率来预测(forecast)两个季度都超过benchmark的概率,并假设独立。所以需使用乘法法则

应该说明是两个quarter都超过benchmark

如果按题目中最后是否超过benchmark,那应该是个总的回报率吧,按条件求不出来

1 个答案

星星_品职助教 · 2023年01月31日

同学你好,

题干给的是“...will exceed his benchmark return in each of the next two quarters”,意思是单个的一个季度超过benchmark的概率。

问题问的是“...will exceed his benchmark return over the two-quarter period in total”,意思是两个季度都超过benchmark的概率。

按照乘法法则,将该基金经理每个季度超过benchmark的概率相乘,即可得到两个季度都超过benchmark的联合概率(joint probability)。

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2022-11-30 05:20 1 · 回答

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2022-09-10 21:56 1 · 回答

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2022-09-10 21:52 1 · 回答

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2021-11-21 09:53 1 · 回答