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bunnymiss · 2020年01月26日

问一道题：NO.PZ2020010301000006 [ FRM I ]

  1. FRM I
  2. Quantitative

问题如下图：

答案看不懂。。。。。

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1 个答案

orange品职答疑助手 · 2020年02月04日

同学你好，这道题的题目条件在哪里呀？我往前看了下，2020010301000005、2020010301000004这些都是与本题无关的题。

从答案看的话，它就是考的贝叶斯公式。解析第三段需要有题目才能看懂吧。第四段是求 P(H,H)，它把P(H,H)拆解成了P(H,H, Star)+P(H,H,normal)，然后再对这两项分别用条件概率去算出。

如果是因为题目条件不全而导致的不理解，那没关系的，掌握知识点就行啦

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NO.PZ2020010301000006问题如下Suppose th10% of funmanagers are superstars. Superstars have a 20% chanof beating their benchmark more th5% eayear(high return), wherenormfunmanagers have only a 5% chanof beating their benchmark more th5%.Continue the application of Bayes’ rule to compute the probability tha manager is a superstafter observing two years of “high” returns. Consir the three scenarios: (High, High), (High, Low) an(Low, Low). We are interestein Pr (Star|High, High) using Bayes’ rule, this is equtoPr(High, High|Star)Pr(Star) /Pr(High, High).Stars prohigh returns in 20% of years, anso Pr(High, High|Star) = 20% * 20% Pr (Star) is still 10%. Finally, we neeto compute Pr (High, High), whiis 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% chanafter one year.1、老师好，“Pr(High, High|Star) ”这里的逗号（，）代表什么意思？是（1）以high｜star为条件的high的概率？还是（2）以star为条件，第一年high同时第二年high的概率？2、“Pr(High, High|Star) = 20% * 20% Pr (Star) is still 10%”如果是（2）的意思，那么“Pr(High, High|Star)”不应该是（20%*20%*10%）/10%吗？

2024-07-14 21:24 3 · 回答

NO.PZ2020010301000006 问题如下 Suppose th10% of funmanagers are superstars. Superstars have a 20% chanof beating their benchmark more th5% eayear(high return), wherenormfunmanagers have only a 5% chanof beating their benchmark more th5%.Continue the application of Bayes’ rule to compute the probability tha manager is a superstafter observing two years of “high” returns. Consir the three scenarios: (High, High), (High, Low) an(Low, Low). We are interestein Pr (Star|High, High) using Bayes’ rule, this is equtoPr(High, High|Star)Pr(Star) /Pr(High, High).Stars prohigh returns in 20% of years, anso Pr(High, High|Star) = 20% * 20% Pr (Star) is still 10%. Finally, we neeto compute Pr (High, High), whiis 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% chanafter one year. ‘Finally, we neeto compute Pr (High, High), whiis Pr(High, High|Star) Pr(Star) + Pr(High, High|Normal)Pr(Normal).’

2024-01-01 17:29 3 · 回答

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2023-12-17 12:10 1 · 回答

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2023-06-08 13:07 1 · 回答

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2022-04-26 06:52 1 · 回答