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我与狸奴不出门_005 · 2024年03月26日

问题具体是在问什么

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208220100000508

问题如下：

Based on the output for Logistic Regression 1 in the table below, which of the following alternatives is closest to the probability that any ETF will be a winning fund?


选项：

A.

6.75%

B.

5.96%

C.

5.67%

解释：

C is correct. We calculate the probability that an that an ETF will be a winning fund by using the variable estimates and the average values of the independent variables. Using the equation for the probability, where we have seven independent variables,


Using the mean values and coefffcient estimates of the independent variables, the probability of the average ETF being a winner is


This implies that for an ETF with the average values of the independent variables, there is a 5.67% probability that it will be a winning ETF.

老师好，没有看懂题目具体是在问什么，辛苦翻译。which of the following alternatives is closest to the probability that any ETF will be a winning fund?

另外，这个计算和marginal effect是否有关？感谢解答。

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品职助教_七七 · 2024年03月27日

嗨，爱思考的PZer你好：


alternatives就是选项的意思。题目就是在问哪个选项对应的是ETF为winning fund的概率。

logistic regression中的P为Y=1（“event happening”）的概率。由于winning fund就对应Y=1，所以直接把所有的X值代入到方程中，求出Ln（P/1-P）后，再反求出P。就是本题要求的概率了。

本题并不是要求P的变化，所以不涉及marginal effect。


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