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叶赫那拉坤坤 · 2020年12月12日

问一道题:NO.PZ2020010301000006

问题如下:

Suppose that 10% of fund managers are superstars. Superstars have a 20% chance of beating their benchmark by more than 5% each year(high return), whereas normal fund managers have only a 5% chance of beating their benchmark by more than 5%.

Continue the application of Bayes’ rule to compute the probability that a manager is a superstar after observing two years of “high” returns.

选项:

解释:

Consider the three scenarios: (High, High), (High, Low) and (Low, Low). We are interested in Pr (Star|High, High) using Bayes’ rule, this is equal to

Pr(High, High|Star)Pr(Star) /Pr(High, High).

Stars produce high returns in 20% of years, and so Pr(High, High|Star) = 20% * 20% Pr (Star) is still 10%.

Finally, we need to compute Pr (High, High), which is Pr(High, High|Star) Pr(Star) + Pr(High, High|Normal)Pr(Normal).

This value is 20% * 20% * 10% + 5% * 5% * 90% = 0.625%. Combing these values,

20% * 20% * 10%/0.625%=64%

This is a large increase from the 30% chance after one year.

老师说非条件概率画在第一只,本题的非条件概率是 superstar 跟连续连年有啥关系呀?

1 个答案

品职答疑小助手雍 · 2020年12月13日

嗨,爱思考的PZer你好:


条件是基金经理是不是superstar对应的情况是是否连续两年beat market。

这题出的这个连续两年beat the market只是单纯的想让你把后面的概率再多算一下而已。

比如superstar (10%的条件下)连续两年打败市场的概率就是20%*20%=4%。

普通人(90%的条件下)的概率是5%*5%=0.25%。以上的4%和0.25%就分别是10%和90%情况下的条件概率。


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