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| Section | Objectives |
|---|---|
| Probability and Statistics Foundations | - Statistical inference
|
| Stochastic Processes and Time Series | - Time series analysis
|
| Simulation and Numerical Methods | - Monte Carlo simulation
|
| Risk Measurement Techniques | - Value at Risk (VaR)
|
Consider two securities X and Y with the following 5 annual returns:
X: +10%, +3%, -2%, +3%, +5%
Y: +7%, -2%, +3%, -5%, +10%
In this case the sample covariance between the two time series can be calculated as:
Correct Answer: D 🗳️
You work for a brokerage firm that charges its client x per share. The volume of trade of a client of type A depends on the per share commission in the following manner. If the commission is x, the client of type A will trade e-ax shares on average each week. What is the optimal commission x that maximizes the income from client A, noting that a is greater than zero?
Correct Answer: D 🗳️
I have a portfolio of two stocks. The weights are equal. The one volatility is 30% while the other is 40%. The minimum and maximum possible values of the volatility of my portfolio are:
Correct Answer: C 🗳️
Let X be a random variable distributed normally with mean 0 and standard deviation 1. What is the expected value of exp(X)?
Correct Answer: B 🗳️
I have a portfolio of two stocks. The weights are 60% and 40% respectively, the volatilities are both 20%, while the correlation of returns is 100%. The volatility of my portfolio is
Correct Answer: D 🗳️
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