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5291Benchmark Mix to Hit a Beta Target 1A sleeve with beta 1.4 is blended with a hedge sleeve of beta -0.2. What weight on the first sleeve gives portfolio beta 0.5?金融与交易中等数值题未尝试面试订阅5292Implied Market Premium From a Hurdle Return 2A stock has beta 1.2 and the risk-free rate is 2%. If CAPM says its expected return should be 9.2%, what market risk premium is implied?金融与交易中等数值题未尝试面试订阅5293Alpha Relative to a Benchmark Move 3A stock returns 1.8% while the benchmark returns 0.9%. If the stock beta is 1.1 and the risk-free rate is negligible over the horizon, what single-period alpha do you attribute to the stock?金融与交易中等数值题未尝试面试订阅5294Index Futures Overlay To Reach A Beta TargetA cash equity book has beta 0.60 to the market. The desk can short index futures with beta 1.00 per unit notional. What short futures notional, as a fraction of NAV, is needed to bring the portfolio beta down to 0.15?金融与交易中等数值题未尝试面试订阅5295Overlay Notional for Beta Neutrality 4A core book has beta 0.9 and notional 200. An index future has beta 1.0. What short futures notional makes the combined beta exposure zero?金融与交易中等数值题未尝试面试订阅5296Idiosyncratic Variance From Total and Market Pieces 5A stock follows a one-factor model with beta 1.5. Market variance is 0.04 and the stock's total variance is 0.16. What idiosyncratic variance is implied?金融与交易中等数值题未尝试面试订阅5297Portfolio Alpha Across Two Sleeves 6Sleeve A has weight 40% and alpha 2%, sleeve B has weight 60% and alpha -0.5%. What is the portfolio alpha?金融与交易中等数值题未尝试面试订阅5298Benchmark Change and Alpha Revision 7A stock returned 1.3%. Under the old benchmark, the benchmark return was 0.8% and beta was 1.0. Under a new benchmark, the benchmark return is 0.5% with the same beta. By how much does the stock's measured alpha increase?金融与交易中等数值题未尝试面试订阅5299Minimum Expected Return To Clear An Alpha HurdleA PM requires at least 1.0% expected alpha over CAPM before buying a stock. If the risk-free rate is 1%, the market expected return is 7%, and the stock's beta is 0.6, what minimum expected return must the stock have to qualify?金融与交易中等数值题未尝试面试订阅5300Compare Two Stocks Under CAPM Plus AlphaThe risk-free rate is 2.5% and the market expected return is 9.5%. Stock A has beta 1.1 and zero alpha forecast. Stock B has beta 0.4 and a forecast alpha of 1.5%. Under a CAPM-plus-alpha view, which stock has the higher expected return, and by how much?金融与交易中等数值题未尝试面试订阅5301Alpha After Cash De-LeveringA trading sleeve has realized return 12% and market beta 1.4. The risk committee wants the reported beta reduced to exactly 1.0 by parking the rest of the capital in T-bills earning 2%. If the market returned 8%, what alpha will the combined position report relative to CAPM?金融与交易中等数值题未尝试面试订阅5302Market Return Consistent With Zero AlphaA PM says a stock with beta 1.5 and realized return -1% still generated exactly zero alpha this month. If the risk-free rate was 2%, what market return would make that statement true?金融与交易中等数值题未尝试面试订阅5303Benchmark Weight Needed to Zero Out Active Beta 8A manager sleeve has beta 1.25. It is mixed with cash of beta 0. What weight on the manager sleeve makes the overall beta exactly 1?金融与交易中等数值题未尝试面试订阅5304Gross Return Needed For Post-Fee Alpha TargetA PM runs a stock with beta 0.7. After the quarter, a 0.8% fee is deducted from the stock's gross return before alpha is reported. If the risk-free rate is 1.5% and the market returned 5.5%, what gross stock return is needed so the reported post-fee alpha is +1.0%?金融与交易中等数值题未尝试面试订阅5305Directional Sleeve Weight For Target AlphaA portfolio mixes a market-neutral arbitrage sleeve with realized return 4% and beta 0.2, and a directional sleeve with realized return 14% and beta 1.4. Let w be the weight in the directional sleeve and 1-w in the arbitrage sleeve. If the risk-free rate is 2% and the market returned 8%, what value of w makes the combined portfolio alpha exactly 2.2%?金融与交易中等数值题未尝试面试订阅5306Three-Factor Return Attribution 1A portfolio has alpha 0.01, market beta 1.1 with market factor move 0.02, value exposure 0.4 with value-factor move -0.01, and size exposure 0.3 with size-factor move 0.015. What return does this linear factor model attribute to the portfolio?金融与交易中等数值题未尝试面试订阅5307Three-Factor Return Attribution 2A portfolio has alpha 0.005, market beta 0.9 with market factor move 0.015, value exposure -0.2 with value-factor move 0.01, and size exposure 0.2 with size-factor move 0.012. What return does this linear factor model attribute to the portfolio?金融与交易中等数值题未尝试面试订阅5309Three-Factor Return Attribution 4A portfolio has alpha 0.008, market beta 0.7 with market factor move 0.01, value exposure 0.3 with value-factor move 0.005, and size exposure -0.1 with size-factor move 0.011. What return does this linear factor model attribute to the portfolio?金融与交易中等数值题未尝试面试订阅5310Three-Factor Return Attribution 5A portfolio has alpha 0.009, market beta 1 with market factor move 0.017, value exposure -0.4 with value-factor move 0.008, and size exposure 0.25 with size-factor move 0.014. What return does this linear factor model attribute to the portfolio?金融与交易中等数值题未尝试面试订阅5311Why Beta Is Not Total RiskWhy can a stock have a low beta but still be risky in an absolute sense?金融与交易困难essay未尝试面试订阅