I doubt any company will insult a PhD in mathematical finance with those questions either. I am not in the field but I work with them from time to time. From what I knew, I cannot even understand some of the questions they asked in the first few rounds of interview, real math problems!!
他这一千的数是随便给的，主要是想说明这是高维的。 第一follow up其实很简单，第二个稍微啰嗦一点，问题转化为在一椭球体内的极值问 题： 假设A是vector of the allocation ratio，M be the vector of mean return. 问题转化为: maximize A^t * M subject to: E(A^t * (X - M))^2 <= 10% Notice that E(A^t * (X - M))^2 = A^t * E(X-M)*(X-M)^t * A = A^t * Cov * A and Cov is semi positive definite. 这些都是简单的asset allocation问题， analysts 的水平。
run regression using historical returns to predict future return
【 在 mitbbs2715 (好吃不懒做) 的大作中提到: 】 What you mentioned is just a naive way to do it, which is definitely wrong in real market. You are not in the field for sure.
【 在 njguy (牛姐吸的男人) 的大作中提到: 】 他这一千的数是随便给的，主要是想说明这是高维的。 第一follow up其实很简单，第二个稍微啰嗦一点，问题转化为在一椭球体内的极值问 题： 假设A是vector of the allocation ratio，M be the vector of mean return. 问题转化为: maximize A^t * M subject to: E(A^t * (X - M))^2 <= 10% Notice that E(A^t * (X - M))^2 = A^t * E(X-M)*(X-M)^t * A ...................
【 在 mitbbs2715(好吃不懒做) 的大作中提到: 】 I doubt any company will insult a PhD in mathematical finance with those questions either. I am not in the field but I work with them from time to time. From what I knew, I cannot even understand some of the questions they asked in the first few rounds of interview, real math problems!!
yes, I insult each of the candidates with PhD in mathematical finance with these questions; just as I insult each of the candidates with PhD in CS by asking them to write me the correct quick sort algo and tell me the best/ worst/avg time complexity and how to improve it.
【 在 mitbbs2715 (好吃不懒做) 的大作中提到: 】 I doubt any company will insult a PhD in mathematical finance with those questions either. I am not in the field but I work with them from time to : time. From what I knew, I cannot even understand some of the questions they asked in the first few rounds of interview, real math problems!!
【 在 mitbbs2715(好吃不懒做) 的大作中提到: 】 I doubt any company will insult a PhD in mathematical finance with those questions either. I am not in the field but I work with them from time to time. From what I knew, I cannot even understand some of the questions they asked in the first few rounds of interview, real math problems!!
most of the time I asked them to have lunch with me, and I ask them this question during the lunch chat. Some of them even got quite insulted even if I just ask them this very basic question.
You must be crazily kidding me. You would have already been fired if you act like what you say. You know nothing about the industry. You have hysteria, I know several other people like you, they post fake personal life online. Friends around them only think they are pitiful.
【 在 jeff(Dr. Jeff) 的大作中提到: 】 most of the time I asked them to have lunch with me, and I ask them this question during the lunch chat. Some of them even got quite insulted even if I just ask them this very basic question. time questions
I know you can do math problems, but definitely not financial math, more like biostatistics or information science related.
【 在 jeff(Dr. Jeff) 的大作中提到: 】 most of the time I asked them to have lunch with me, and I ask them this question during the lunch chat. Some of them even got quite insulted even if I just ask them this very basic question. time questions
【 在 ziqian (展子虔) 的大作中提到: 】 You must be crazily kidding me. You would have already been fired if you act like what you say. You know nothing about the industry. You have hysteria, I know several other people like you, they post fake personal life online. Friends around them only think they are pitiful.
most of the time I asked them to have lunch with me, and I ask them : this
question during the lunch chat. Some of them even got quite insulted even
月光姐搜索引擎用的还是很厉害的。
questions either. I am not in the field but I work with them from time to
time. From what I knew, I cannot even understand some of the questions they asked in the first few rounds of interview, real math problems!!
第一follow up其实很简单，第二个稍微啰嗦一点，问题转化为在一椭球体内的极值问
题：
假设A是vector of the allocation ratio，M be the vector of mean return.
问题转化为:
maximize A^t * M
subject to:
E(A^t * (X - M))^2 <= 10%
Notice that
E(A^t * (X - M))^2 = A^t * E(X-M)*(X-M)^t * A
= A^t * Cov * A
and Cov is semi positive definite.
这些都是简单的asset allocation问题， analysts 的水平。
这厮昨天还发帖说自己重仓科技股 结果昨天一天亏惨了
妈的太搞笑了 我老一个8支股票的简单diversified portfolio 昨天纳指跌了一大截
结果收盘的时候还是收绿的 都靠banking sector补回来
就他一个买啥亏啥的脑残loser 还装逼出什么portfolio风险题 呵呵
US universe股票上千很正常的
比楼上那几个装逼索南强
傻逼
你的问题是想risk最小，也就是最小化Var[x+y]。
Var[x+y]=Var[x]+Var[y]+2Cov[x,y]
~(r*20%)^2 +[(1-r)*30%]^2 + 2corr(x,y)*20%*r*30%*(1-r)
这个是convex的，给定corr(x,y) 总有global minimum.
你这个式子是对的。
求导＝０，然后计算即可
10分钟求解。
美国top10的统计硕士，ECE的博士。
那逼题都看不懂
所以说它就不是top 10 EE的博士嘛
these questions; just as I insult each of the candidates with PhD in CS by
asking them to write me the correct quick sort algo and tell me the best/
worst/avg time complexity and how to improve it.
question during the lunch chat. Some of them even got quite insulted even
if I just ask them this very basic question.
You have hysteria, I know several other people like you, they post fake
personal life online. Friends around them only think they are pitiful.
like biostatistics or information science related.
sb
You should see a doctor. Seriously.