第 1 / 2 页
非代码面试题
显示 20 / 21 道匹配题目
答题状态：未尝试未正确已正确
ID题目领域难度题型进度权限
4041Two-Asset Diagonal Kelly Vector 1Under the quadratic Kelly approximation with diagonal covariance, variances are (0.36, 0.25) and optimal weights are (0.25, 0.2). If mu 1 = 0.09, what mu 2 is implied?金融与交易中等derivation未尝试面试订阅4042Two-Asset Diagonal Kelly Vector 2Under diagonal Sigma, expected excess returns are (0.08, 0.06) and optimal weights are (0.2, 0.375). If variance of asset 2 is 0.16, what variance of asset 1 is implied?金融与交易中等derivation未尝试面试订阅4043Two-Asset Diagonal Kelly Vector 3With diagonal covariance, expected excess returns are (0.07, 0.03) and optimal weights are (0.2, 0.15). If variance of asset 1 is 0.35, what variance of asset 2 is implied?金融与交易中等derivation未尝试面试订阅4044Two-Asset Diagonal Kelly Vector 4Diagonal covariance has variances (0.25, 0.09), and the optimal Kelly vector is (0.24, -0.1). What expected excess return vector mu is implied?金融与交易中等derivation未尝试面试订阅4045Two-Asset Diagonal Kelly Vector 5With diagonal covariance, mu 1 = 0.05, variance 1 = 0.25, and variance 2 = 0.16. What mu 2 makes the total optimal gross leverage equal 0.5 if both weights are nonnegative?金融与交易中等derivation未尝试面试订阅4046Correlated Two-Asset Kelly Vector 1Under quadratic Kelly, mu = (0.08, 0.05) and Sigma = [[0.25, 0.04], [0.04, 0.16]]. What is the unconstrained optimal Kelly vector?金融与交易困难derivation未尝试面试订阅4047Correlated Two-Asset Kelly Vector 2Under quadratic Kelly, mu = (0.1, 0.04) and Sigma = [[0.36, -0.06], [-0.06, 0.25]]. What is the unconstrained optimal Kelly vector?金融与交易困难derivation未尝试面试订阅4048Correlated Two-Asset Kelly Vector 3Under quadratic Kelly with two assets, mu = (0.09, 0.03), variances are (0.36, 0.16), and covariance is c. What covariance c makes the second optimal Kelly weight exactly zero?金融与交易困难derivation未尝试面试订阅4049Correlated Two-Asset Kelly Vector 4If Sigma = [[0.25, 0.05], [0.05, 0.36]] and the optimal Kelly vector is (0.2, 0.1), what expected excess return vector mu is implied?金融与交易困难derivation未尝试面试订阅4050Correlated Two-Asset Kelly Vector 5Suppose mu = (0.068, 0.05), variances are (0.25, 0.16), and the desk wants the unconstrained Kelly optimum to be exactly (0.2, 0.2). What covariance c makes that true?金融与交易困难derivation未尝试面试订阅4051Hedge-Like Asset in Vector Kelly 1Under quadratic Kelly, mu = (0.06, 0.01) and Sigma = [[0.16, -0.03], [-0.03, 0.09]]. What is the optimal Kelly vector?金融与交易困难derivation未尝试面试订阅4054Hedge-Like Asset in Vector Kelly 4Under quadratic Kelly, mu = (0.08, 0.05) and Sigma = [[0.25, 0.04], [0.04, 0.16]]. By how much does positive covariance reduce the first Kelly weight relative to ignoring covariance?金融与交易困难derivation未尝试面试订阅4055Hedge-Like Asset in Vector Kelly 5Under quadratic Kelly, mu = (0.09, 0.04) and Sigma = [[0.25, 0.14], [0.14, 0.36]]. What is the optimal Kelly vector?金融与交易困难derivation未尝试面试订阅4056Quadratic Kelly Growth Score 1A desk fixes the first Kelly weight at 0.25. Asset 2 has mu 2 = 0.03, variance v 2 = 0.16, and covariance -0.04 with asset 1. Under the quadratic Kelly approximation, what second weight maximizes growth given the fixed first weight?金融与交易困难derivation未尝试面试订阅4057Quadratic Kelly Growth Score 2A desk fixes the first Kelly weight at 0.4. Asset 2 has mu 2 = 0.02, variance v 2 = 0.25, and covariance 0.05 with asset 1. Under the quadratic Kelly approximation, what second weight maximizes growth given the fixed first weight?金融与交易困难derivation未尝试面试订阅4058Quadratic Kelly Growth Score 3A desk fixes the first Kelly weight at 0.3. Asset 2 has mu 2 = -0.01, variance v 2 = 0.09, and covariance -0.03 with asset 1. Under the quadratic Kelly approximation, what second weight maximizes growth given the fixed first weight?金融与交易困难derivation未尝试面试订阅4061Negative Correlation and Gross Kelly ExposureWhy can a negatively correlated asset enter the Kelly portfolio with a positive weight even if its standalone edge is slightly negative?金融与交易中等essay未尝试面试订阅4062Independent Assets and AdditivityWhy does estimation error in the covariance matrix matter so much for multi-asset Kelly?金融与交易中等essay未尝试面试订阅4063Why Naive Single-Asset Kelly Can MisleadWhy do practitioners often shrink or cap multi-asset Kelly weights even after solving the unconstrained optimum?金融与交易中等essay未尝试面试订阅4064Why a Weak Asset Can Still Belong in the PortfolioWhy can gross leverage explode when the covariance matrix is nearly singular?金融与交易中等essay未尝试面试订阅