爆难面试题 求高手解答

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Supposeyou’ve generated a strategy with the following per-unit properties:

Avg Gross Win	Avg Gross Loss	Win Rate	Commission
$0.03	$0.01	55%	$0.0025

a)       What is your average gross PnLper unit?  What is your average net PnLper unit?

This result comply with Binomial distribution

b)       Suppose that you willexperience $0.01 slippage per unit when executing this strategy.  If your starting capital is $1MM, how much ofit should you allocate to this strategy if no other strategies arerunning?  What if your average gross winsand average gross losses were doubled?

主要是第二题怎么做，我不是很明白，capital怎么分配给单一的strategy？

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关键词：求高手解答 求高手 面试题 distribution Experience generated following starting average capital

Avg Gross Win        Avg Gross Loss        Win Rate        Commission
$0.03                       $0.01                55%          $0.0025
  图表似乎看不清，再付上一遍

zhouchlcy 发表于 2013-8-4 23:26
Avg Gross Win        Avg Gross Loss        Win Rate        Commission
$0.03                       $0.01                55%          $0 ...

I am not good at solving these kind of interview questions but I come to make a try just for fun.

My idea is that each investment should both consider the expected return and standard deviation(risk)

if we just consider the expected return, I think this question will be very boring, just invest all your money on the strategy that will bring positive return is ok while not invest a penny on the strategy that has a negative expected return

So to combine the expected return and the risk, you can get an objective function such as E(x)-0.5*lambda*Var(x), x is the return. choose different lambda or you can assume lambda=1. lambda measures the risk aversion of the investor. I think this question have no definite answer since everybody has different risk aversion level. Somebody prefer to gamble on the high risk so maybe they will invest more, while some may less willing to gamble just keep their money in their pocket.

This one perspect to solve this problem. Perhaps there are some much better ways, just for a reference.

best,

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