exam Flashcards
Why did it become a good investment to bet against mortgage-backed securities.
A) The default rate on the mortgages kept rising.
B) Rating agencies were accurately assigning ratings.
C) Banks were incentivized to issue more and more mortgages.
D) A and C
D
In terms of the fundamental law, when aiming for high
performance, you can make up for low skill with ___.
A) low breadth
B) low sharpe ratio
C) high breadth
D) high volatility
C
: Is Bollinger Bands a leading indicator?
A) Yes
B) No, Bollinger Bands is a lagging indicator
C) No, Bollinger Bands is not an indicator
D) No, Bollinger bands is neither a leading or a lagging indicator
B
What should you do when the stock hits the bottom Bollinger Band?
A) Hold your position (don’t change your position at all)
B) Exit any position you currently have and then hold at 0 shares
C) Short the stock to have negative shares
D) Long the stock to have positive shares
D
If the Information Coefficient is doubled and the trading
opportunities are multiplied by 9, what happens to the Information Ratio.
A) The Information Ratio is multiplied by 1 (remains unchanged)
B) The Information Ratio is multiplied by 4.5
C) The Information Ratio is multiplied by 6
D) The Information Ratio is multiplied by 18
C
What is the best way an investor who is lacking in skill can beat a more skillful investor?
A) Hire skillful people
B) Make smarter trades
C) Make more trades per day
D) Pick better stocks
C
Which statement is true regarding the Fundamental Law of Portfolio Management?
A) IR = IC * sqrt(BR)
B) IC = IR * sqrt(BR)
C) BR = IC * IR
D) IR = IC + sqrt(BR)
A
Which of the following can not improve your performance based on the Fundamental Law?
A) Improve your skill
B) Increase the Breadth
C) Increase the IC and BR
D) Decrease breadth but improve the skill
D
What does CDS stand for?
A) Collateralized Debt Swap
B) Credit Default Swap
C) Collateralized Debt Security
D) Credit Default Security
B
: Which of the following is not the keys of Grinold’s fundamental law?
A) Skill
B) Performance
C) Luck
D) Breadth
C
Which of these scenarios does not indicate an upward trend in stock price:
A) A particular stock’s price surpasses the upper Bollinger Band
B) A particular stock’s 20-day SMA surpasses its 100-day SMA
C) A particular stock’s short-term EMA falls below its long-term EMA
D) The value of a particular stock’s Bollinger Band Percentage > 0.8
and its price/SMA ratio is >= 1
C
: Which of these could represent a State in a Reinforcement Learning problem when referring to a trading scenario?
A) BUY
B) Daily Return
C) Return from Trade
D) All of the above
B
Which celebrity chef and “Kitchen Confidential” author explains collateralized debt obligations (CDOs) by comparing them to fish stew?
A) Gordon Ramsay
B) Mario Batali
C) Thomas Keller
D) Anthony Bourdain
D
Following statement is true or false: Hedge Funds cannot succeed if EMH applies.
A) True
B) False
B
In Reinforcement Learning, the default MDP has an assumption of infinite horizons to overcome that, we introduce a concept
of ___________ rewards. Multiplying the reward by λ raised to t. Where
λ’s limits are ___< λ <=___.
A) [reduced , -1, 1]
B) [reduced, 0 , 1]
C) [discounted, -1, 1]
D) [discounted, 0 , 1]
D
Do you think that a market that is semi-strong efficient is also weak form efficient? Why or Why not?
A) Yes it does, because semi-strong EMH states that the prices adjust immediately to all publicly available information, which also
includes the asset’s price history and vol data.
B) No it does not, because semi-strong EMH talks only about fundamental data such as the company’s earnings.
C) Yes it does, because semi-strong EMH states that the prices adjust immediately to all publicly and privately available information.
D) No it does not, as semi-strong EMH talks about information that is mutually exclusive to weak form EMH.
A
Given that EMH is about 3 forms, weak, semi-strong, and strong. What would be the behavior of prices, if, for example, the
standard investor became one that only bought and held stocks passively?
A) There would be no change in the way that prices adjusted
B) Prices will fail eventually to show any type of new information. There will be incentives to trade more
C) Prices will continue to change based on new information that won’t cease to enter the market
D) We would probably enter another recession
B
The goals of unsupervised learning and RL are
A) The goal of unsupervised learning is to find similarities and differences between data points; the goal of reinforcement learning is to find a suitable action model to maximize cumulative reward;
B) The goal of unsupervised learning is to find a suitable action model to maximize cumulative reward; the goal of reinforcement
learning is to find similarities and differences between data points;
C) The goal of both unsupervised learning and reinforcement learning is to find similarities and differences between data
A
According to the Fundamental Law, which of the following statements is most accurate?
A) Increasing skill and/or breadth will increase performance, but it’s more difficult to increase breadth than skill, and increasing skill isn’t as effective as increasing breadth.
B) Increasing skill and/or breadth will increase performance, but it’s more difficult to increase skill than breadth, and increasing
breadth isn’t as effective as increasing skill.
C) Utilizing machine learning will increase performance.
D) A Georgia Tech education including CS7646 coursework will increase performance.
B
Suppose you purchase a call option for a single stock (assume that you can do so) for $10 on a day where the stock price is $7 under the strike price. Starting from then, the price rises monotonically through the expiration date, on which the price of the stock is $3 above the strike price. What is the maximum net profit that you can make during this time period, assuming your only choices are to either exercise or not exercise the option?
A) -$10
B) -$7
C) -$3
D) $3
?
Which of the following statements about Dyna is true?
A) Dyna is a model-free based method.
B) Dyna is the basis for Q-Learning.
C) Dyna is a blend of model-free and model-based methods
D) Dyna is more expensive than Q-Learning
C
In an actively managed portfolio, what strategy may help you improve breadth?
A) Increase your information ratio
B) Finding additional stocks and markets
C) Increase your information coefficients
D) Trade ETFs only
B
Which of the following attribute of Q learning is important in convergence over infinite horizon?
A) rar
B) radr
C) alpha
D) gamma
D
Which option below correctly describes the advantage of options?
A) You cannot lose more than the premium.
B) You can always get the premium back.
C) Options do not have expiration dates.
D) You can hold options for infinite amount of time.
A
Which of the following is NOT an example of a state (s) in reinforcement learning?
A) Holding Long
B) Momentum Value
C) Daily Returns
D) Holding short
C
What has the lowest risk for return ?
A) Stocks
B) Bonds
C) Stocks and Bonds
D) Precious Materials
C?
Key method to measure the performance of a portfolio manager is:
A) Information Ratio
B) Compound Annual Growth Rate
C) Information Coefficient
D) Specific Risk
A
What is TRUE about the efficient frontier
A) The efficient frontier was introduced by William F. Sharpe, who also developed the Sharpe ratio method for calculating risk- adjusted return
B) You can find portfolios not on the efficient frontier that have a higher return for the same amount of risk
C) You can find portfolios not on the efficient frontier that have higher risk for the same amount of return
D) Assuming none of the asset is risk-free, as the expected return decreases, the risk value of the efficient frontier will keep decreasing
C?
Which of the following statements related to Efficient Market Hypothesis is NOT TRUE?
A) EMH assumes that agents are rational and people do NOT overreact or underreact when faced with new information.
B) Semi-strong-form efficiency implies that neither fundamental analysis nor technical analysis techniques will be able to reliably produce excess returns
C) Weak form of the EMH leaves room for Fundamental Analysis.
D) In P/E ratio vs Return% dataset graph, The correlation between Price-Earnings ratio, 20-year annualized returns could be used to refute the efficient market hypothesis.
A
Given 2 companies have same Information Ratio Company A has algorithm 100 time smarter than Company B Company A trades for 20 days a year How many trades does company B need to execute?
A) 200000
B) 20000
C) 2000000
D) 2000
A
According to Bloomberg News, what opportunity similar to CDO which several large banks have started selling since 2015?
A) Collateralized Mortgage Obligation
B) Bespoke Tranche Opportunity
C) Asset-Backed Security
D) Synthetic CDO
B
Fill in the blank. Transition function is a three dimensional object given by T[s,a,s’]. Suppose we are in state “s” and take particular action “a” then the sum of all the next states “s’(s prime)” we might end up in should sum to be .
A) always 0
B) always 1
C) either 0 or 1
D) always more than 1
B
: If a stock is said to have good relative strength, it means:
A) The ratio of the price of the stock to a given market index has trended upwards
B) The recent trading volume of the stock has exceeded its average trading volume
C) The stock has performed well compared with other stocks in the same risk category as measured by beta
D) The total return of the stock has exceeded the total return on other stocks in the same industry
A
Which stock properties would best be considered to comprise an optimal portfolio with higher combined returns and lower risk than either of the individual stocks.
A) Stocks ABC and DEF with covariance value of +0.9.
B) Stocks ABC and DEF with covariance value of -0.9.
C) Stocks ABC and DEF with combined Sharpe Ratio of 1.0.
D) Stocks ABC and DEF with combined Sharpe Ratio of 0.0.
B
The discount factor allows us to value:
A) Helps to achieve maximum returns over long term
B) long-term reward more than short term reward
C) short-term reward more than long-term ones
D) None of the above
C
Which of the following hypotheses hold under Efficient Market Hypothesis?
A) EMH implies that it is impossible to predict perfectly future returns
B) EMH implies that prices must incorporate all existing information
C) EMH implies that prices vary with no clear reason
D) EMH implies that prices do not fluctuate
B
In order to reduce risk while maximizing returns, portfolios often allocate stocks based upon _____ correlation in the short term and ______ correlation in the long term.
A) negative, positive
B) zero, positive
C) positive, positive
D) zero, zero
A
For Grinold’s Fundamental Law, what is Information Ratio (performance) similar to?
A) Volatility
B) Sharpe Ratio
C) Cumulative Return
D) Daily Return
B
Which of the following is an issue when we buy or sell stocks with most significant price changes?
A) Certainty of price change
B) Determining an entry position
C) Both A and B
D) None of the above
A
: It is currently debatable whether the stock market is efficient or not (if the efficient market hypothesis is correct). How do you expect this to change in the future?
A) New investors enter the market every day, I expect market efficiency to decline in the future, as there will be more noise in the market.
B) Sophisticated investors and institutions still rely heavily on human decision making. I expect market efficiency to increase in the future. As more institutions adopt computer-automated and systematic trading systems, a fair-market price equilibrium should be reached in shorter time.
C) The stock market is perfectly efficient, and it will remain that way.
D) The stock market is entirely inefficient, and will remain that way.
A?
What is Information Ratio?
A) Sharpe Ratio of the Portfolio
B) Mean of the excess return
C) Market return plus excess return
D) Sharpe Ratio of the excess return
D
You are using Dyna-Q to learn a policy to help with trading a new mutual fund. You only have a few days to trade before you need to cash out for other reasons. To model this time constraint do you:
A) Use a high alpha (learning rate) so that you learn your policy quickly.
B) Use a low lambda (discount rate) because you value later rewards less.
C) Use fewer hallucination cycles so that you have more time to trade.
D) Use a smaller set of training data to mimic the small time frame you will have to trade.
??
Assume beta represents the market return and alpha represents the residual return. Which answer below exactly contains the factors that Information Ratio is related to?
A) std(beta), std(alpha), mean(alpha)
B) mean(beta), std(beta), std(alpha)
C) mean(beta), std(beta)
D) mean(alpha), std(alpha)
D
What is the correct sequence for the cycle describing the RL problem?
A) Analyze, Remember, Act
B) Sense, Think, Act
C) Think, Sense, Act
D) Remember, Act, Analyze,
B
Which of the following methods is NOT a valid way of solving a reinforcement learning problem?
A) Transition Iteration
B) Value Iteration
C) Q-Learning
D) Policy Iteration
A
value iteration or policy iteration - model based
: Which of the following are characteristics of technical analysis? i. price of stock ii. value of a company iii. volume of stock traded
A) i only
B) i and ii
C) i and iii
D) i, ii, and iii
C
Which of the following are not assumptions of the Efficient Markets Hypothesis?
A) New Information arrives randomly
B) Small number of investors
C) Prices adjust quickly
D) Prices reflect all available information
B
: Which of the following is true about Markov Chain problems?
A) The sum of all the next states in reward function is 1.
B) The sum of the all the next states in transition function is 1.
C) The sum of all the next states in set S is 1.
D) The sum of all the next action in set A is 1.
B
: Why is a good idea to create a portfolio that combines assets with negative correlations?
A) To get more “alpha” than any individual asset
B) To maximize returns by shorting stocks
C) To reduce portfolio volatility
D) To balance weights equally among all assets
C
Reinforcement learning algorithm tries to (select one that applies)
A) Find a policy pi that minimizes Transition function.
B) Find a policy pi that minimizes Reward function.
C) Find a policy pi that maximizes Transition function.
D) Find a policy pi that maximizes Reward function.
D
Which of the following choices is not an assumption made by the Efficient Market Hypothesis?
A) There are a large number of investors
B) Prices adjust quickly
C) Prices reflect all available information
D) The market can be beaten by efficient trading practices
D
: The goal for reinforcement learning is to find a Policy PI that maps a state to an action that we should take and its goal is to find this pi such that it maximizes some future sum of the reward. Which of the following is the way that we calculate discount reward? Suppose n is a finite number, 0 < \lambda < 1, and r_i is the reward for the ith action.
A) Sum_{i=1}^{Inf} r_i
B) Sum_{i=1}^{n} r_i
C) Sum_{i=1}^{Inf} \lambda^{i-1} r_i
D) Sum_{i=1}^{n} \lambda^{i-1} r_i
C
: To assess weights for portfolio that minimizes risk using Mean Variance Optimization technique, what are the inputs required ?
A) Expected Return, Volatility, Covariance, Target return
B) Expected Return, Volatility, Standard Deviation, Target return
C) Momentum, Volatility, Standard Deviation, Mean
D) Bollinger bands, Volatility, Standard Deviation, Target return
A
According to EMH, what type of analysis/analyses could provide excess returns for the semi-strong form?
A) Technical Analysis
B) Fundamental Analysis
C) A and B
D) Neither A or B
D
Stock options can increase the _____ of a portfolio, as the investor can keep more cash on hand up to the expiration date.
A) value
B) leverage
C) riskiness
D) stability
B
What is the root cause of 2008 financial crisis?
A) hedge fund trading with derivatives
B) increase in mortgage interest rate
C) increase in oil price
D) decrease in unemployment rate
A
Identify the FALSE statement about the components that make up a Markov Decision Problem.
A) States - a finite set of states that the process can occupy at a current time
B) Actions - a finite set of actions that can be enacted given a state
C) Observations - events observed that are by-products of the current state of the process
D) Rewards - the motivation given for transitioning from the current state to the next state
C
Please select statements that are True:
A) In Markov decision tree process the reward from applying action to the current state depends on the previous states and previous actions that were taken by the agent
B) The end goal of the Markov decision problem is to find a policy that maximizes total rewards
C) Agent can only receive one type of a reward at a time: either an immediate reward or a discounted future reward
D) Transition function maps sets of actions into sets of rewards
B
Which of these metrics are not used in the Bollinger Band calculation introduced in lecture?
A) Standard Deviation
B) Momentum
C) Simple Moving Average
D) Price
B
The current market price of XYZ is $50 per share. An investor plan to purchase 1 XYZ 50 calls with $2 premium per share and 1 XYZ 50 puts with $2 premium per share. What is the breakeven points of this purchase:
A) 46 and 52
B) 48 and 54
C) 46 and 54
D) 48 and 52
C
since both the put and call cost $2/share and have the starting price of $50, if the price doesn’t move, you earn nothing and lost $4/share for buying the call and put. If the price moves to $48, you broke even on the put but still lost the $2 for the call. Thus, the price needs to drop to $46 to cover the $4/share you paid for both options. Since the problem is symmetrical, The price could also rise to $54 in order for the call to cover the cost.
Suppose you use a butterfly strategy: buy a 105 call at 7.16 and a 115 call at 0.53, write two 110 calls at 2.73. What is the break-even price of the strategy?
A) 107.23
B) 107.76
C) 110
D) 110.53
A
premium = 2*2.73 - 0.53-7.16 = -2.23 (per share)
What problem would be most effectively addressed by reinforcement learning?
A) Forecasting the weather by analyzing instantaneous measurements
B) Scoring wine based on graded taste features
C) Using sensors to navigate an environment
D) Recognizing a song after sampling a small portion of it
C
Which version of the Efficient Market Hypothesis suggests that insider trading cannot be possible?
A) Strong
B) Semi-strong
C) Weak
D) All of the above
A
Which of the following is not part of the Markov decision problems:
A) Set of states S
B) Set of actions A
C) Transition function
D) Value function
D
Which of the following distinguishes a Model-Based Reinforcement Learning algorithm from a Model-Free algorithm?
A) A Model-Based algorithm observes the transition of an environment from state S to state S’
B) A Model-Based algorithm uses randomness to explore the environment while a Model-Free algorithm does not.
C) While a Model-Free algorithm does not attempt to create a model of the transition function of the environment ( T [S,A,S’], it does attempt to m摯汥琠敨爠睥牡?畦据楴湯⠠删嬠□嵁 楬敫愠䴠摯汥䈭獡摥愠杬牯瑩浨మ潂桴䄠愠摮䌠 挀档湥㍧㔰a䤀?慭歲瑥椠?数晲捥汴⁹晥楦楣湥ⱴ眠
D) Both A and C
model-based reinforcement learning, we look at the experience tuples over time and build a model of
T and R by examining the transitions statistically. For example, for each state, action pair , we can look at the distributions of the observed next state and reward, respectively. Once we have these models, we can use value iteration or policy iteration to find the policy.
If market is perfectly efficient, which of the followings will still be able to generate returns?
A) High frequency traders
B) Active portfolio managers
C) Passive portfolio managers
d?
Which of the following is a not assumed as part of the Efficient Markets Hypothesis?
A) The current price reflects all available information and quickly adjusts based on demand
B) There are a large number of investors competing for gains
C) New informationarrives constantly arrives and randomly
D) The current price reflects all available information and slowly adjusts based on demand
D
Which one of the following statements is NOT correct?
A) Stock options are sold by one party to another.
B) The option buyer has the right to buy or sell a stock at a specific price.
C) Stock options will expire if the buyers don’t exercised.
D) Both American options and European options can be exercised any time before the expiration date.
D
What is NOT correct regarding the Q-learning update rule?
A) Alpha is learning rate, indicating the dependence of the new Q- value on the old one.
B) We need to find the action that maximize the Q-value among all possible actions when calculating new Q-value.
C) Discount and immediate reward of both past and future actions should be considered when calculating new Q-value.
D) The discount factor is used to reduce the value of future rewards.
C
If you believe in the weak form version of the Efficient Market Hypothesis, which of the following would you NOT be likely to consider valuable information?
A) Stock volatility over the last month
B) Insider knowledge of an impending CEO change
C) The book value of the company
D) Earnings report contents
A
The lowest possible Sharpe ratio of a portfolio that contains at least two stocks is:
A) higher than the lowest Sharpe ratio of any one stock in the portfolio
B) equal to the lowest Sharpe ratio of any one stock in the portfolio
C) lower than the lowest Sharpe ratio of any one stock in the portfolio
D) none of the above
C
The Fundamental Law of Portfolio management states which of the following:
A) Portfolio performance increases as skill increases
B) Portfolio performance increases as trading opportunities increases
C) High portfolio performance can only be guaranteed through diversification
D) Both (A) and (B)
D
The goal of reinforcement learning is to find the optimal policy. What are possible outputs of a policy function?
A) A single action that should be taken next when in a particular state
B) A probability distribution over a set of actions
C) A and B
D) None of the above
C?
: If two portfolio managers have the same investment skills, which one you would prefer?
A) The one who works in a famous company of the world’s top 500, but with limited invest opportunities.
B) The one who works in a very small company, but have many opportunities to invest
C) Both are good candidates due to the same investment skills
D) Above answers are wrong due to the lack of further information
B
About Q-learning, which statement is wrong?
A) Q-learning is a reinforcement learning technique used in machine learning.
B) The goal of Q-learning is to learn a policy.
C) It is designed to make future rewards worth more than immediate rewards.
D) State and action are two key elements in Q-learning.
C
Suppose your best friends is a CEO of a company, and you could always acquire the latest inside information of this company. But one day you find that you could NOT use this advantage to make profits. Which of the following statements about the efficient market hypothesis (EMH) is supported by your experience?
A) The weak version of EMH is valid.
B) The semi-strong version of EMH is valid.
C) The strong version of EMH is valid.
D) None of above
C
Technical Analysis is most effective for…
A) Making complex trading decisions
B) Analyzing cash flow and book value
C) Making simple trading decisions
D) Making long-term trading decisions
C
Which of the following can be inferred by the weak form of the Efficient Market Hypothesis?
A) Future prices of AAPL cannot be predicted by analyzing historical prices.
B) Prices of AAPL will adjust rapidly to any new information about the company.
C) Prices of AAPL reflect all knowledge about the company, public and private.
D) Future prices for AAPL can be predicted accurately by analyzing historic prices.
A
When thinking about trading stocks as a Reinforcement Learning problem. Which choice is defined as an action?
A) Buy
B) Holding Long
C) Daily Returns
D) Bollinger Value
A
Increase in SMA(Simple Moving Average) over a period of time indicates:
A) Increase in volatility of the stock for the time period
B) Decrease in Stock price for the time period
C) Increase in the Stock price for the time period
D) No Change in stock price
C
Which of the following are states in a trading reinforcement learning problem? (Looking for an S)
A) Buying
B) Holding Long
C) Leverage
D) Cumulative Return
B
What is considered a major benefit of exchange-traded stock options?
A) The premium can be refunded at any time before the expiration date
B) The loss is capped to the premium
B
Say DIS stock is currently trading at $50 per share. Now we purchase one call option contract (100 shares) on DIS with a $70 strike and at a price of $5.00 per contract. Please select the correct description below:
A) In the U.S. We can only exercise the option on the expiration date
B) The cost of buying the option is $500
C) If we exercise the option when the stock price is $70, the actual profit will be $2000
D) We will make a profit if exercise the option when the stock price goes up to $60
B
How will information ratio change if adding additional cash to the portfolio?
A) No effect.
B) The information ratio will increase.
C) The information ratio will decrease.
D) The effect depends on market conditions.
C
Which of the following is true for trading with Bollinger Bands?
A) Large breakouts often occur after periods of low volatility when the bands contract.
B) No breakouts usually occur after periods of low volatility when the bands contract.
C) Bearish breakouts often occur after periods of low volatility when the bands contract.
D) Bullish breakouts often occur after periods of low volatility when the bands contract.
A
Stock A and stock B each gives a 12% annual return. Daily returns standard deviation of stock A is 0.0027 and stock B is 0.0031. If you have $100 which one of below 4 option s would be the best investment strategy to invest the $100?
A) $55 in Stock A, $45 in Stock B
B) $100 in Stock B
C) $45 in Stock A, $55 in Stock B
D) $100 in Stock A
D
You have 30 candidate liquid driver symbols e.g. SPY, XLE, XLF etc. You believe there exists a linear relationship between those 30 liquid instruments’ returns and an illiquid instrument’s returns e.g. SNOW: r_SNOW = \Beta_SPY * r_SPY + \Beta_XLE * r_XLE + \Beta_XLF * r_XLF +
\cdots. However, you believe the relationship is sparse i.e. most Betas are zero. Which of the following regression techniques would produce a sparse linear relationship? Hint: Think about how a penalty behaves when the Beta is small.
A) Lasso Regression i.e. penalize the absolute value of each regressor’s beta
B) Ridge Regression i.e. penalize the square of each regressor’s beta
C) RANSAC i.e. fit a simple linear model from random subsets of
What does the housing crisis suggest about the Efficient Market Hypothesis?
A) It corroborates the EMH because certain hedge funds were able to short the housing market using data collected from mortgage data.
B) Market bubbles don’t exist. The Economy is perfect. Everything is always fine.
C) It contradicts the EMH because information relevant to the crash was not reflected in housing market share prices.
D) It corroborates the EMH because the crash could have been easily predicted from the available stock price information.
???
Assume you bought 100 buy option calls at $110 strike price of AAPL stock, which takes $300 as the premium. The stock price moved from $115 to $120. What is the maximum return available?
A) 10000
B) 300
C) 9700
D) none of above
C
one option is 100 shares
Which of the below statements is most correct about Dyna?
A) Dyna utilizes a model-free based method.
B) Dyna utilizes a model-based method.
C) A and B.
D) None of the above.
C
According to portfolio optimization and the efficient frontier, what is defined as “Risk”?
A) Volatility between two stocks
B) Standard deviation of historical daily returns
C) Standard deviation of historical yearly returns
D) When the total market cap of a company is higher than its book value, it is “risky”
B
Which of the following statement about efficient market assumptions is FALSE?
A) Prices are driven by small groups of wall street hedge funds with efficient algorithms.
B) Price adjust quickly.
C) New information arrives randomly and transparently.
D) Neither technical nor fundamental analysis can produce risk- adjusted excess returns under efficient market assumptions.
A
If the weak form of the EMH is correct then
A) Technical analysis will be success (prediction the future price based on historical price and volume data)
B) Technical analysis cannot succeed
C) Fundamental analysis cannot work
D) B and C
B
What are the two components of taking action a in state s for Q[s, a]?
A) maximum reward, minimum reward
B) immediate reward, discounted reward
C) long reward, short reward
D) call reward, put reward
b
What is the most important factor to make a less volatile portfolio for the combinations of several stocks?
A) Average price of stocks
B) Covariance of stocks
C) Average daily return of stocks
D) Standard deviation of daily return of stocks
B
A portfolio can lie above the efficient frontier.
A) Correct, the efficient frontier represents the highest risk portfolio for a given level of return.
B) Correct, the efficient frontier represents the lowest risk portfolio for a given level of return.
C) Incorrect, the efficient frontier represents the highest risk portfolio for a given level of return.
D) Incorrect, the efficient frontier represents the lowest risk portfolio for a given level of return.
D
Select one that has options on besides stocks:
A) Commodities
B) Insurance
C) House
A
Which one of the following sentences is true for the efficient market hypothesis?
A) There are four forms of the EMH: weak, semi, semi-strong and strong
B) If the EMH is correct then hedge fund managers cannot succeed
C) Since all the hedge fund managers can identify similar opportunities they have to act on these ASAP.
D) All of the above
C
The assumption that prices will adjust rapidly to new public information represents which form of the Efficient Markets Hypothesis?
A) Weak
B) Semi-strong
C) Strong
D) Quick
B
: What is risk?
A) standard deviation of historical daily return
B) covariance of historical daily return
C) inverse of sharp ratio
D) geometric average rate of logarithmic of annual return
A
: Your friend has been monitoring the market, waiting for a good time to buy some GOOGL. Which of the following is the best technical indicator to move forward with the purchase?
A) Prices have been increasing for a few days and just hit the higher Bollinger Bond.
B) Prices have been increasing for a few days and just hit the lower Bollinger Bond.
C) GOOGL announces earnings, which was more than expectations.
D) GOOGL announces earnings, which was less than expectations.
B
Does policy guarantee to converge? If it converges, does the optimal policy generates optimal value function?
A) Yes, Yes
B) Yes, No
C) No, Yes
D) No, No
A
Based solely on the foregoing prices, how would you best describe the relationship between Stock A and Stock B? Date (dd/mm/yyyy) Stock A Price Stock B Price 1. 02/05/2018
$50.00 $32.21 2. 05/05/2018 $51.09 $31.98 3. 07/05/2018 $50.24 $32.73 4. 12/05/2018 $53.19
$30.74 5. 23/05/2018 $53.24 $30.50
A) Positively correlated
B) Negatively correlated
C) Insufficient data to determine correlation
D) No correlation
B
Which of the following schema is model free?
A) Policy Iteration
B) Value Iteration
C) Q Learning
D) Decision Tree
C
Which of the statement of Q-learning below is False?
A) The agents job is to maximize cumulative reward.
B) Q-learning does not require a model of the environment and can handle problems with stochastic transitions and rewards.
C) Agents actions affect the subsequent data it receives.
D) The learning rate determines the importance of future rewards.
D
