Given a set of portfolio sharpies and a correlation, what is the optimal ratio of portfolios.
Quant Research Interview Questions
296 quant research interview questions shared by candidates
Sample points randomly from a unit sphere. How do you get uniform variables? sample random standard normal variables X1, X2, X3 for the 3 coordinates of the point in the sphere. Then (X1,X2,X3)/sqrt(X1+X2+X3) = (X1,X2,X3) is uniform. What is the variance of each of these uniform variables?
How would you detect and address multicollinearity in a multiple regression model, and what impact can it have on the interpretation of the coefficients?
Introduce one project that is related to quantitative investment.
Standard DP: Longest common subsequence,
The interview was dominated by CS-related questions, mostly based around algorithms. Max-subarray, problems involving a bisection-based solution, and concepts around sorting. In addition to that a short discussion about a small class hierarchy in C++ or other language in which it makes sense to do OOP. The whole thing was done purely over the phone which made communication considerably more difficult than expected (and amplified language barrier problems). One other problem based on Monte Carlo and some properties of the proposed estimator.
probability (green book), brainteasers, coding
coding questions with C++ mainly on algo
Technical questions about my CV (in depth). Black Scholes formula, Greeks, definition of option, market making, arbitrage, ...
Question on simulating random variables.
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