<t>I mentioned the practical possibility of obtaining a history of weekly returns via Bloomberg, and equating mu with the historical return. (As I understand it, this is basically Needaclue's answer.)I will now try to recall as accurately as I can the interviewer's exact words. "But is the history o...

<t>Needaclue's approach of dividing up the time interval, assuming a constant mu, was identical to my own. The interviewer objected strongly. Having been there, I don't think the "crap answer" was deliberate. After all, interviewers are usually not expert actors, and it's actually quite difficult to...

<t>Player, I'm not telling you that at all. What I'm telling is that the interviewers said something like: "Actually, the stock pays a dividend, and these dividends give you the value of mu."The whole point of my opening of the thread is that I was taken aback by the interviewers' intended answer. A...

<t>All of these are interesting answers, and I am very familiar with all this theory that's been discussed.The reason I opened the thread is that these answers (and my answer) are very different from the interviewers' what-we-wanted-to-hear answer. (Which is not to imply that these other answers wou...

<t>Interesting response, Bhutes. This was not similar to the interviewers' "intended answer." (This is not to say that they would not have liked that answer. I have no idea how they would have responded to the CAPM answer.)I will wait for a few more responses before giving the interviewers' intended...

But what is your answer?

<t>I'd like to give here a real interview question that I was posed when I interviewed for a quant role. I will try to recall the context of the question, and the wording of the question as accurately as possible. Please _do not_ ask me about the interviewing institution/ interviewers/ exact nature ...

<t>You seem to be assuming a final-interview stage. The situation here is that a group of strong interviewers from the first round will be invited back for a second stage. My guess is that all interviewees who seem impressive will make this second stage, but with a maximum of 50% or so.Anyway, the g...

<t>I interviewed (on-site) for a junior quant role today. It's a cliche (and it's probably correct) that interviewers decide very early on whether they are interested, and whether they are planning on a 2nd interview.When other candidates remain to be interviewed, few interviewers ever directly say ...

Ltrain wrote -char a[5];strcpy ("Hello" a)What does strlen (a) return ?.{it is not what you think}The surprise not-what-you-think part is that the terminating null character is included in the length?Presumably, you meant strcpy ("Hello", a);Paul Epstein

<r>Yes, I am interested in helping you, and I live in central London. I have recently graduated with a Masters in Financial Mathematics from Warwick University. I also have several years experience of teaching undergraduate-level mathematics in the U.S.If interested, please email me personally at <E...

<t>I'm afraid I only have time for two quick comments. When showing E |Mn| is finite, simply imagine n is some fixed positive integer. For example, n might be 100. Understand why E |M100| is finite, and then argue for general n. This is an important point because a common trap is to worry unnecessar...

<t>We seem to agree 100%. I did solve the problem by computing year-on-year movements. However, my supervisor firmly ("firmly" is a euphemistic adverb here) rejected this approach because this method throws out a lot of the data (in his opinion). For example, if you have only 52 weeks of data (I had...

<t>I was trying to calculated implied excess returns for a portfolio consisting of four indices.The formula I was using was: Implied Returns = lambda (risk aversion coefficient) * covariance matrix of excess returns * asset allocation vector.The problem is that I was working with Bloomberg data and ...

<t>I'm sorry but I don't quite understand your answer. The formula I gave for a risk aversion coefficient does change (slightly) over time because (rm - rf)/sigma^2 is not exactly = ((1+rm)^index - (1+rf)^index)/(index * sigma^2) though they match up to the first degree. So I'm wrestling with the fa...