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永不发愁 · 2020年05月03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.

请问如何用贝叶斯分支树的方式解这道题?

1 个答案

袁园_品职助教 · 2020年05月06日

同学你好!

答案解析就是用的这种方法啊,先算

1. 是 superstar 且连续两年 high return 的概率

2. 不是 superstar 且连续两年 high return 的概率

最后用 1/(1+2)

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