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Investment Strategy Analyst interview questions shared by candidates

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Summer Internship - Quantitative Investment Strategies was asked...10 April 2012

### Suppose that you have a fair coin. You start with \$0. You win 1\$ each time you get a head and loose \$1 each time you get tails. Calculate the probability of getting \$2 without getting below \$0 at any time.

1/3

1/3 Because if he requires 2 heads = \$2, then it means he require HH out of {HH,HT ,TH,TT} We cannot consider TT because it would turn to zero. Therefore, he has 1 chance out of 3. Hence 1/3. Less

Marchov chain with 2 and -1 absorbing OR geometric series 1/4^n from 1 to inf=1/3 Less

### Please detail the different inputs of the Black-Litterman model.

Market view is given by the asset allocations within the market benchmark. Performance of certain assets can be incorporated to incorporate the investor's view in the resulting asset allocations. Less

### - First questions were on my Master's Thesis subject (The use of Fourier Transform to price options) - Rank the following underlyings by order of volatility: EUR/USD, GSCI, SX5E, Bond - Describe the patterns of the probability distribution functions of the returns for each of the above underlyings. -Some questions on the Greeks - Central Limit Theorem - I flip a coin 100 times, what is the probability of having 60 heads?

((1/2) ^ 100 ) * ( 100! / ( 60! * 40 ! ) )

### Describe a time you made a mistake and you had to admit to it? Describe a time you tried your hardest but still failed? Why AIG? Can you name a time and there was a conflict in a group setting and how it was handled? Walk me through your resume/tell me about yourself?

Answer them all in the STAR method.

### Tell me a little bit about yourself.

p = 0.5(0.5+0.5p)