Quantitative Research Associate Interview Questions

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Three assets A, B, and C with Sharpe ratios of 1, 2, and 3. Now construct a portfolio D as a linear combination of A, B, and C. What is the largest potential Sharpe ratio for D? Derive an expression for the optimal weights for A, B, and C.
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Quantitative Researcher

Interviewed at Tanius Technology

4
Dec 30, 2020

Three assets A, B, and C with Sharpe ratios of 1, 2, and 3. Now construct a portfolio D as a linear combination of A, B, and C. What is the largest potential Sharpe ratio for D? Derive an expression for the optimal weights for A, B, and C.

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