1,000+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
Statistical analysis and quantitative modeling problems
Trading MCQs, probability brainteasers, and market scenarios
Practice quant interview questions on MyntBit - the all-in-one quant learning platform. Free questions available for C++ coding, Python problems, probability brainteasers, and trading MCQs.
Difficulty: Hard
Category: Conditional Expected Value
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: kelly-criterion, optimal-betting, correlated-assets, probability, expected-value
You are a trader at a proprietary trading firm analyzing a pair of correlated assets. Asset A has a 60% chance of increasing by 10% and a 40% chance of decreasing by 5%. Asset B has a 70% chance of increasing by 8% and a 30% chance of decreasing by 4%. The correlation between the returns of Asset A and Asset B is 0.5. You want to allocate your capital using the Kelly Criterion to maximize your long-term growth rate. Assuming you can only invest in Asset A or Asset B (not both), which asset and w
Practice this hard trader interview question on Myntbit - the all-in-one quant learning platform with 1000+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.