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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
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