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HG · 2020年04月20日

问一道题：NO.PZ2015120204000027

  1. CFA II
  2. Quantitative

问题如下：

Epstein asks Litvenko whether it is possible to identify companies that are likely tooutperform the market in the next period rather than just trying to predict the returnfor a company.The most appropriate way to address the outperformance issue discussed byEpstein and Litvenko is to:

选项：

A.

use a probit model.

B.

add a dummy variable to the regression.

C.

replace one or more of the independent variables with its logarithmictransformation.

解释：

A is correct. A probit model is appropriate for a binary decision, such as whether a securityis likely to outperform the market or not.

B is incorrect. A dummy variable is a qualitative independent variable. A model toclassify outcomes as binary requires a qualitative dependent variable.

C is incorrect. A logarithmic transformation of an independent variable is appropriatewhen its relationship with the dependent variable is non-linear, but it will not changethe form of the dependent variable to binary (outperforms or does not).


probit和logit有啥区别？

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1 个答案

星星_品职助教 · 2020年04月20日

同学你好，

这两个模型的区别不需要掌握，probit和 model的残差项服从正态分布，而logit model的残差项服从logistic分布，属于超纲内容。

只需要掌握这两个模型是当Y是dummy variable时使用的模型即可。在二级考试里这两个名词可以当做同义词。

 

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