开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

世纪之龙5 · 2024年03月18日

描述3是什么

NO.PZ2016071602000008

问题如下:

A database of hedge fund returns is constructed as follows. The first year of the database is 1994. All funds existing as of the end of 1994 that a willing to report their verified returns for that year are included in that year. The database is extended by asking the funds for verified returns before 1994. Subsequently, funds are added as they are willing to report verified returns to the database. If a fund stops reporting returns, its returns are deleted from the database, but the database has an agreement with funds that they will keep reporting verified returns even if they stop being open to new investors. Which of the following four statements are correct?

I. The database suffers from backfilling bias.

II. The database suffers from survivorship bias.

III. The database suffers from an errors-in-variables bias.

IV. The equally weighted annual return average of fund returns will under-estimate the performance one would expect from a hedge fund.

选项:

A.

All the above statements are correct.

B.

Statements I and II are correct.

C.

Statements I, II, and III are correct.

D.

Statements II and IV are correct.

解释:

B is correct. The database includes histories before 1994 and therefore suffers from backfill bias. Next, funds that stop reporting are deleted from the database, so it has survivorship bias. Errors-in-variables bias arises in other contexts, such as regression. Finally, the average of fund returns will be too high (not too low) because of these two biases. Hence, I. and II. are correct.

如题

2 个答案
已采纳答案

李坏_品职助教 · 2024年03月18日

嗨,爱思考的PZer你好:


III说的是errors-in-variables bias. 这个属于计量经济学的术语,意思是“变量测量误差”,当模型中的自变量X出现测量误差时,会影响OLS估计结果,使得模型不精确。所以这个主要是由于regression model带来的问题。题目中不涉及regression,所以III属于无关项。

----------------------------------------------
努力的时光都是限量版,加油!

世纪之龙5 · 2024年03月18日

变量测量误差就是指残差吗

李坏_品职助教 · 2024年03月19日

嗨,努力学习的PZer你好:


不是,指的是自变量本身的取值出现了重大错误,影响了模型的估计结果。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 2

    回答
  • 0

    关注
  • 192

    浏览
相关问题

NO.PZ2016071602000008 问题如下 A tabase of hee funreturns is constructefollows. The first yeof the tabase is 1994. All fun existing of the enof 1994 tha willing to report their verifiereturns for thyeare incluin thyear. The tabase is extenasking the fun for verifiereturns before 1994. Subsequently, fun are aethey are willing to report verifiereturns to the tabase. If a funstops reporting returns, its returns are letefrom the tabase, but the tabase hagreement with fun ththey will keep reporting verifiereturns even if they stop being open to new investors. Whiof the following four statements are correct?I. The tabase suffers from backfilling bias.II. The tabase suffers from survivorship bias.III. The tabase suffers from errors-in-variables bias.IV. The equally weighteannureturn average of funreturns will unr-estimate the performanone woulexpefrom a hee fun A.All the above statements are correct. B.Statements I anII are correct. C.Statements I, II, anIII are correct. Statements II anIV are correct. B is correct. The tabase inclus histories before 1994 antherefore suffers from backfill bias. Next, fun thstop reporting are letefrom the tabase, so it hsurvivorship bias. Errors-in-variables biarises in other contexts, suregression. Finally, the average of funreturns will too high (not too low) because of these two biases. Hence, I. anII. are correct. 老师这是什么偏差?

2023-07-10 23:18 1 · 回答

NO.PZ2016071602000008 问题如下 A tabase of hee funreturns is constructefollows. The first yeof the tabase is 1994. All fun existing of the enof 1994 tha willing to report their verifiereturns for thyeare incluin thyear. The tabase is extenasking the fun for verifiereturns before 1994. Subsequently, fun are aethey are willing to report verifiereturns to the tabase. If a funstops reporting returns, its returns are letefrom the tabase, but the tabase hagreement with fun ththey will keep reporting verifiereturns even if they stop being open to new investors. Whiof the following four statements are correct?I. The tabase suffers from backfilling bias.II. The tabase suffers from survivorship bias.III. The tabase suffers from errors-in-variables bias.IV. The equally weighteannureturn average of funreturns will unr-estimate the performanone woulexpefrom a hee fun A.All the above statements are correct. B.Statements I anII are correct. C.Statements I, II, anIII are correct. Statements II anIV are correct. B is correct. The tabase inclus histories before 1994 antherefore suffers from backfill bias. Next, fun thstop reporting are letefrom the tabase, so it hsurvivorship bias. Errors-in-variables biarises in other contexts, suregression. Finally, the average of funreturns will too high (not too low) because of these two biases. Hence, I. anII. are correct. 课上说的是插入了个新数据

2022-11-17 08:23 1 · 回答

NO.PZ2016071602000008问题如下 A tabase of hee funreturns is constructefollows. The first yeof the tabase is 1994. All fun existing of the enof 1994 tha willing to report their verifiereturns for thyeare incluin thyear. The tabase is extenasking the fun for verifiereturns before 1994. Subsequently, fun are aethey are willing to report verifiereturns to the tabase. If a funstops reporting returns, its returns are letefrom the tabase, but the tabase hagreement with fun ththey will keep reporting verifiereturns even if they stop being open to new investors. Whiof the following four statements are correct?I. The tabase suffers from backfilling bias.II. The tabase suffers from survivorship bias.III. The tabase suffers from errors-in-variables bias.IV. The equally weighteannureturn average of funreturns will unr-estimate the performanone woulexpefrom a hee funA.All the above statements are correct.B.Statements I anII are correct.C.Statements I, II, anIII are correct.Statements II anIV are correct.B is correct. The tabase inclus histories before 1994 antherefore suffers from backfill bias. Next, fun thstop reporting are letefrom the tabase, so it hsurvivorship bias. Errors-in-variables biarises in other contexts, suregression. Finally, the average of funreturns will too high (not too low) because of these two biases. Hence, I. anII. are correct.总是会混淆这两个bi 谢谢老师

2022-07-15 08:31 1 · 回答

NO.PZ2016071602000008 关于errors-in-variables bias 1.我看了之后,觉得因为题目中回填等操作使得获取的report return变量其实本身就有偏差(会被高估)了,为什么不属于errors-in-variables bias? 2.所以这个bias主要指在操作上出现的问题,例如漏了变量、模型运算等操作风险事件上吗,。而不是说变量input选的数据集不好?

2021-03-28 13:18 1 · 回答