This paper is an interview question of quantitative strategy post in the self-operated department of a securities company circulating on the Internet. The content is incomplete and is for reference only.
There are eight big questions in the written test, the first two questions must be answered, and the last six questions must be answered by three questions. The test paper is still printed neatly, which feels more formal than the college exam. )
The first question, given a portfolio, is the weight, volatility, correlation coefficient and beta value of A and B securities.
(1) Find the beta value of the portfolio.
(2) Find out the volatility of the portfolio
(3) Briefly describe the defects of CAPM model.
Second, choose your own programming language.
(1) Write a program to find the greatest common factor of two positive integers M and N. ..
I forgot.
The third question, option portfolio, assumes that the underlying assets fluctuate greatly in the near future, and the market has call and put options to choose from. Please construct an option arbitrage portfolio that you think is suitable for the market outlook, and draw the corresponding profit and loss chart.
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The fourth question, assuming that the subject follows geometric Brownian motion (that is, stochastic differential equation), uses Ito Lemma to solve the above SDE.
Fifth, the cash flow and spot interest rate of each period are given, and the bond price and duration are calculated.
The sixth question, suppose there are 1024 coins, one of which is fake (both sides have the same pattern). If you forget later, give the utility function and ask if you want to (forget)
The seventh question, the principle of support vector machine SVM.
The eighth question, combined with the current macro-economy, expounds the macro-economic trend and asset allocation suggestions of China in the second half of the year.
The landlord Xiao Shuo, a non-985 school, is currently working in a first-line brokerage firm, doing quantitative things, but it is very watery.