Question 1: Why did it become a good investment to bet against
Transcript of Question 1: Why did it become a good investment to bet against
Question1:Whydiditbecomeagoodinvestmenttobetagainstmortgage-backedsecurities.A) Thedefaultrateonthemortgageskeptrising.B) Ratingagencieswereaccuratelyassigningratings.C) Bankswereincentivizedtoissuemoreandmoremortgages.D) AandC
Correctanswer:D
Question2:Intermsofthefundamentallaw,whenaimingforhighperformance,youcanmakeupforlowskillwith___.
A) lowbreadthB) lowsharperatioC) highbreadthD) highvolatility
Correctanswer:C
Question3:IsBollingerBandsaleadingindicator?
A) YesB) No,BollingerBandsisalaggingindicatorC) No,BollingerBandsisnotanindicatorD) No,Bollingerbandsisneitheraleadingoralaggingindicator
Correctanswer:B
Question4:WhatshouldyoudowhenthestockhitsthebottomBollingerBand?
A) Holdyourposition(don'tchangeyourpositionatall)B) Exitanypositionyoucurrentlyhaveandthenholdat0sharesC) ShortthestocktohavenegativesharesD) Longthestocktohavepositiveshares
Correctanswer:D
Question5:WhowasthefirstbankMichaelapproachedtomakehimtheCDSs?
A) JPMorganB) GoldmanSachsC) DeutscheBankD) BankofAmerica
Correctanswer:B
Question6:IftheInformationCoefficientisdoubledandthetradingopportunitiesaremultipliedby9,whathappenstotheInformationRatio.
A) TheInformationRatioismultipliedby1(remainsunchanged)B) TheInformationRatioismultipliedby4.5C) TheInformationRatioismultipliedby6D) TheInformationRatioismultipliedby18
Correctanswer:C
Question7:Whatisthebestwayaninvestorwhoislackinginskillcanbeatamoreskillfulinvestor?
A) HireskillfulpeopleB) MakesmartertradesC) MakemoretradesperdayD) Pickbetterstocks
Correctanswer:C
Question8:WhichstatementistrueregardingtheFundamentalLawofPortfolioManagement?
A) IR=IC*sqrt(BR)B) IC=IR*sqrt(BR)C) BR=IC*IRD) IR=IC+sqrt(BR)
Correctanswer:A
Question9:WhichofthefollowingcannotimproveyourperformancebasedontheFundamentalLaw?
A) ImproveyourskillB) IncreasetheBreadthC) IncreasetheICandBRD) Decreasebreadthbutimprovetheskill
Correctanswer:D
Question10:WhatdoesCDSstandfor?
A) CollateralizedDebtSwapB) CreditDefaultSwapC) CollateralizedDebtSecurityD) CreditDefaultSecurity
Correctanswer:B
Question11:Inthemovie“TheBigShort”,whatdidCreditDefaultSwapsdo?A) Insuredthebondsagainstfailureandtheinsurerpaidtheclaimifthe
underlyingbondsfailB) Insuredthebondsagainstfailureandtheinsurerpaidtheclaimifthe
underlyingbondsmakemoneyC) ToincreaseemployeesD) Asanannualpractice
Correctanswer:A
Question12:WhichofthefollowingisnotthekeysofGrinold'sfundamentallaw?
A) SkillB) PerformanceC) LuckD) Breadth
Correctanswer:C
Question13:Whichofthesescenariosdoesnotindicateanupwardtrendinstockprice:
A) Aparticularstock'spricesurpassestheupperBollingerBandB) Aparticularstock's20-daySMAsurpassesits100-daySMAC) Aparticularstock'sshort-termEMAfallsbelowitslong-termEMAD) Thevalueofaparticularstock'sBollingerBandPercentage>0.8
anditsprice/SMAratiois>=1
Correctanswer:C
Question14:WhichofthesecouldrepresentaStateinaReinforcementLearningproblemwhenreferringtoatradingscenario?
A) BUYB) DailyReturnC) ReturnfromTradeD) Alloftheabove
Correctanswer:B
Question15:Whichcelebritychefand"KitchenConfidential"authorexplainscollateralizeddebtobligations(CDOs)bycomparingthemtofishstew?
A) GordonRamsayB) MarioBataliC) ThomasKellerD) AnthonyBourdain
Correctanswer:D
Question16:Followingstatementistrueorfalse:HedgeFundscannotsucceedifEMHapplies.
A) TrueB) False
Correctanswer:B
Question17:InReinforcementLearning,thedefaultMDPhasanassumptionofinfinitehorizonstoovercomethat,weintroduceaconceptof___________rewards.Multiplyingtherewardbyλraisedtot.Whereλ'slimitsare___<λ<=___.
A) [reduced,-1,1]B) [reduced,0,1]C) [discounted,-1,1]D) [discounted,0,1]
Correctanswer:D
Question18:Doyouthinkthatamarketthatissemi-strongefficientisalsoweakformefficient?WhyorWhynot?
A) Yesitdoes,becausesemi-strongEMHstatesthatthepricesadjustimmediatelytoallpubliclyavailableinformation,whichalsoincludestheasset'spricehistoryandvoldata.
B) Noitdoesnot,becausesemi-strongEMHtalksonlyaboutfundamentaldatasuchasthecompany'searnings.
C) Yesitdoes,becausesemi-strongEMHstatesthatthepricesadjustimmediatelytoallpubliclyandprivatelyavailableinformation.
D) Noitdoesnot,assemi-strongEMHtalksaboutinformationthatismutuallyexclusivetoweakformEMH.
Correctanswer:A
Question19:GiventhatEMHisabout3forms,weak,semi-strong,andstrong.Whatwouldbethebehaviorofprices,if,forexample,thestandardinvestorbecameonethatonlyboughtandheldstockspassively?
A) TherewouldbenochangeinthewaythatpricesadjustedB) Priceswillfaileventuallytoshowanytypeofnewinformation.
TherewillbeincentivestotrademoreC) Priceswillcontinuetochangebasedonnewinformationthat
won’tceasetoenterthemarketD) Wewouldprobablyenteranotherrecession
Correctanswer:B
Question20:Thegoalsofunsupervisedlearningandreinforcementlearningare:
A) Thegoalofunsupervisedlearningistofindsimilaritiesanddifferencesbetweendatapoints;thegoalofreinforcementlearningistofindasuitableactionmodeltomaximizecumulativereward;
B) Thegoalofunsupervisedlearningistofindasuitableactionmodeltomaximizecumulativereward;thegoalofreinforcementlearningistofindsimilaritiesanddifferencesbetweendatapoints;
C) Thegoalofbothunsupervisedlearningandreinforcementlearningistofindsimilaritiesanddifferencesbetweendatapoints;
D) hegoalofbothunsupervisedlearningandreinforcementlearningistofindasuitableactionmodeltomaximizecumulativereward.
Correctanswer:A
Question21:Whatisthemeaningof"syntheticCDO"in"thebigshort"movie?A) ACDOthatcontainssubprimemortgagesB) ACDOthatcontainsstudentloanC) ACDOthatcontainscreditdefaultswapsD) ACDOthatcontainscorporatedebt
Correctanswer:C
Question22:AccordingtotheFundamentalLaw,whichofthefollowingstatementsismostaccurate?
A) Increasingskilland/orbreadthwillincreaseperformance,butit'smoredifficulttoincreasebreadththanskill,andincreasingskillisn'taseffectiveasincreasingbreadth.
B) Increasingskilland/orbreadthwillincreaseperformance,butit'smoredifficulttoincreaseskillthanbreadth,andincreasingbreadthisn'taseffectiveasincreasingskill.
C) Utilizingmachinelearningwillincreaseperformance.D) AGeorgiaTecheducationincludingCS7646courseworkwill
increaseperformance.
Correctanswer:BQuestion23:Supposeyoupurchaseacalloptionforasinglestock(assumethatyoucandoso)for$10onadaywherethestockpriceis$7underthestrikeprice.Startingfromthen,thepricerisesmonotonicallythroughtheexpirationdate,onwhichthepriceofthestockis$3abovethestrikeprice.Whatisthemaximumnetprofitthatyoucanmakeduringthistimeperiod,assumingyouronlychoicesaretoeitherexerciseornotexercisetheoption?
A) -$10B) -$7C) -$3D) $3
Correctanswer:B
Question24:WhichofthefollowingstatementsaboutDynaistrue?
A) Dynaisamodel-freebasedmethod.B) DynaisthebasisforQ-Learning.C) Dynaisablendofmodel-freeandmodel-basedmethodsD) DynaismoreexpensivethanQ-Learning
Correctanswer:C
Question25:Inanactivelymanagedportfolio,whatstrategymayhelpyouimprovebreadth?
A) IncreaseyourinformationratioB) FindingadditionalstocksandmarketsC) IncreaseyourinformationcoefficientsD) TradeETFsonly
Correctanswer:B
Question26:WhichofthefollowingattributeofQlearningisimportantinconvergenceoverinfinitehorizon?
A) rarB) radrC) alphaD) gamma
Correctanswer:D
Question27:Accordingtothemovie"TheBigShort",whichofthefollowingisclosestinmeaningtoa"CreditDefaultSwap(CDS)"?
A) Goingshortonthedefaultofmortgage-backedsecuritiesB) Goinglongonthedefaultofmortgage-backedsecuritiesC) CollateralizedDebtObligation(CDO)
Correctanswer:A
Question28:Whichoptionbelowcorrectlydescribestheadvantageofoptions?
A) Youcannotlosemorethanthepremium.B) Youcanalwaysgetthepremiumback.C) Optionsdonothaveexpirationdates.D) Youcanholdoptionsforinfiniteamountoftime.
Correctanswer:A
Question29:WhichofthefollowingisNOTanexampleofastate(s)inreinforcementlearning?
A) HoldingLongB) MomentumValueC) DailyReturnsD) Holdingshort
Correctanswer:C
Question30:Whathasthelowestrisk?
A) StocksB) BondsC) StocksandBondsD) PreciousMaterials
Correctanswer:C
Question31:Inthemovie,TheBigShort,charactersinthefilm,suchasMichaelBurry,wouldacquire________inordertoshorttheMBS(MortgageBackedSecurities)whichmeansbettingagainstthehousingmarket.A) SyntheticCDOB) CDOSquaredC) CreditDefaultSwapsD) Sub-primemortgages
Correctanswer:C
Question32:Whathasthelowestriskforreturn?
A) StocksB) BondsC) StocksandBondsD) Preciousmaterial
Correctanswer:C
Question33:Inthemovie,TheBigShort,charactersinthefilm,suchasMichaelBurry,wouldacquire________inordertoshorttheMBS(MortgageBackedSecurities)whichmeansbettingagainstthehousingmarket.
A) SyntheticCDOB) CDOSquaredC) CreditDefaultSwapsD) Sub-primemortgages
Correctanswer:C
Question34:Keymethodtomeasuretheperformanceofaportfoliomanageris:
A) InformationRatioB) CompoundAnnualGrowthRateC) InformationCoefficientD) SpecificRisk
Correctanswer:A
Question35:WhatisTRUEabouttheefficientfrontier
A) TheefficientfrontierwasintroducedbyWilliamF.Sharpe,whoalsodevelopedtheSharperatiomethodforcalculatingrisk-adjustedreturn
B) Youcanfindportfoliosnotontheefficientfrontierthathaveahigherreturnforthesameamountofrisk
C) Youcanfindportfoliosnotontheefficientfrontierthathavehigherriskforthesameamountofreturn
D) Assumingnoneoftheassetisrisk-free,astheexpectedreturndecreases,theriskvalueoftheefficientfrontierwillkeepdecreasing
Correctanswer:C
Question36:WhichofthefollowingstatementsrelatedtoEfficientMarketHypothesisisNOTTRUE?
A) EMHassumesthatagentsarerationalandpeopledoNOToverreactorunderreactwhenfacedwithnewinformation.
B) Semi-strong-formefficiencyimpliesthatneitherfundamentalanalysisnortechnicalanalysistechniqueswillbeabletoreliablyproduceexcessreturns
C) WeakformoftheEMHleavesroomforFundamentalAnalysis.D) InP/EratiovsReturn%datasetgraph,Thecorrelationbetween
Price-Earningsratio,20-yearannualizedreturnscouldbeusedtorefutetheefficientmarkethypothesis.
Correctanswer:A
Question37:Given2companieshavesameInformationRatioCompanyAhasalgorithm100timesmarterthanCompanyBCompanyAtradesfor20daysayearHowmanytradesdoescompanyBneedtoexecute?
A) 200000B) 20000C) 2000000D) 2000
Correctanswer:A
Question38:JaredVennettsellsthe'CreditDefaultSwaps'.WhatdoesMarkBaumuseitfor?
A) Shortthemarket.B) Buythesamecreditswapsagain.C) Buyhalfthecreditswaps.D) Longthemarket.
Correctanswer:A
Question39:Whatisthereasonthatthemaincharactersin"TheBigShort"decideincreditdefaultswaps?
A) Theyallreadapaperthatpredictedthepossiblestockmarketcrash.
B) TheyallnoticedthatthehousingloanmarketwasinflatedwithhighriskloansbeingstructuredintoloanpackageswithaAAArating(lowriskrating)
C) TheyallnoticedthatthehousingloanmarketwasinflatedwithmediumriskloansbeingstructuredintohighriskloanpackageslikeBBtoCCC.
D) TheyallgottippedoffbytheSMAforhousingloanmarketpredictingachangeinthetrend.
Correctanswer:B
Question40:AccordingtoBloombergNews,whatopportunitysimilartoCDOwhichseverallargebankshavestartedsellingsince2015?
A) CollateralizedMortgageObligationB) BespokeTrancheOpportunityC) Asset-BackedSecurityD) SyntheticCDO
Correctanswer:B
Question41:Fillintheblank.TransitionfunctionisathreedimensionalobjectgivenbyT[s,a,s'].Supposeweareinstate"s"andtakeparticularaction"a"thenthesumofallthenextstates"s'(sprime)"wemightendupinshouldsumtobe__.A) always0B) always1C) either0or1D) alwaysmorethan1
Correctanswer:B
Question42:Ifastockissaidtohavegoodrelativestrength,itmeans:
A) Theratioofthepriceofthestocktoagivenmarketindexhastrendedupwards
B) Therecenttradingvolumeofthestockhasexceededitsaveragetradingvolume
C) Thestockhasperformedwellcomparedwithotherstocksinthesameriskcategoryasmeasuredbybeta
D) Thetotalreturnofthestockhasexceededthetotalreturnonotherstocksinthesameindustry
Correctanswer:A
Question43:Whichstockpropertieswouldbestbeconsideredtocompriseanoptimalportfoliowithhighercombinedreturnsandlowerriskthaneitheroftheindividualstocks.
A) StocksABCandDEFwithcovariancevalueof+0.9.B) StocksABCandDEFwithcovariancevalueof-0.9.C) StocksABCandDEFwithcombinedSharpeRatioof1.0.D) StocksABCandDEFwithcombinedSharpeRatioof0.0.
Correctanswer:B
Question44:When2FrontPointtraders,DannyandPortertraveltoMiamitoinvestigatecurrenthousingdevelopment,theylearn...
A) thereareseverallargefamilieslivinginthesamehouse.B) mosthomeownershavedefaultedontheirmortgagesandhave
movedout.C) landlordsintheseareasarekeepingupwiththeirmortgage
payments.D) theyneedtolongthehousingmarket.
Correctanswer:B
Question45:Thediscountfactorallowsustovalue:
A) HelpstoachievemaximumreturnsoverlongtermB) long-termrewardmorethanshorttermrewardC) short-termrewardmorethanlong-termonesD) Noneoftheabove
Correctanswer:C
Question46:WhichofthefollowinghypothesesholdunderEfficientMarketHypothesis?
A) EMHimpliesthatitisimpossibletopredictperfectlyfuturereturns
B) EMHimpliesthatpricesmustincorporateallexistinginformationC) EMHimpliesthatpricesvarywithnoclearreasonD) EMHimpliesthatpricesdonotfluctuate
Correctanswer:B
Question47:Inordertoreduceriskwhilemaximizingreturns,portfoliosoftenallocatestocksbasedupon_____correlationintheshorttermand_____correlationinthelongterm.
A) negative,positiveB) zero,positiveC) positive,positiveD) zero,zero
Correctanswer:A
Question48:Inordertoreduceriskwhilemaximizingreturns,portfoliosoftenallocatestocksbasedupon_____correlationintheshorttermand_____correlationinthelongterm.
A) negative,positiveB) zero,positiveC) positive,positiveD) zero,zero
Correctanswer:A
Question49:ForGrinold’sFundamentalLaw,whatisInformationRatio(performance)similarto?
A) VolatilityB) SharpeRatioC) CumulativeReturnD) DailyReturn
Correctanswer:B
Question50:Whichofthefollowingisanissuewhenwebuyorsellstockswithmostsignificantpricechanges?
A) CertaintyofpricechangeB) DetermininganentrypositionC) BothAandBD) Noneoftheabove
Correctanswer:A
Question51:Itiscurrentlydebatablewhetherthestockmarketisefficientornot(iftheefficientmarkethypothesisiscorrect).Howdoyouexpectthistochangeinthefuture?A) Newinvestorsenterthemarketeveryday,Iexpectmarketefficiency
todeclineinthefuture,astherewillbemorenoiseinthemarket.B) Sophisticatedinvestorsandinstitutionsstillrelyheavilyonhuman
decisionmaking.Iexpectmarketefficiencytoincreaseinthefuture.Asmoreinstitutionsadoptcomputer-automatedandsystematictradingsystems,afair-marketpriceequilibriumshouldbereachedinshortertime.
C) Thestockmarketisperfectlyefficient,anditwillremainthatway.D) Thestockmarketisentirelyinefficient,andwillremainthatway.
Correctanswer:B
Question52:WhichstatementsisFALSEabout"TheBigShort"?
A) ACollateralizeddebtobligation(CDO)canbemadeupofdifferenttypesofassetsandloans.
B) ManyMortgage-BackedSecurities(MBS)arealsoCollateralizeddebtobligations(CDOs).
C) AAAtrancheshavehigherrisksthanBBBtranches.D) MichaelBurrymadeprofitsbypurchasingCreditdefaultswaps
(CDS)fromthebanksandthesebankspaidhimthefullamountofthebondwhentheMortgage-BackedSecurity(MBS)defaulted.
Correctanswer:C
Question53:WhatisInformationRatio?
A) SharpeRatioofthePortfolioB) MeanoftheexcessreturnC) MarketreturnplusexcessreturnD) SharpeRatiooftheexcessreturn
Correctanswer:D
Question54:WhichstatementsisFALSEabout"TheBigShort"?
A) ACollateralizeddebtobligation(CDO)canbemadeupofdifferenttypesofassetsandloans.
B) ManyMortgage-BackedSecurities(MBS)arealsoCollateralizeddebtobligations(CDOs).
C) AAAtrancheshavehigherrisksthanBBBtranches.D) MichaelBurrymadeprofitsbypurchasingCreditdefaultswaps
(CDS)fromthebanksandthesebankspaidhimthefullamountofthebondwhentheMortgage-BackedSecurities(MBS)defaulted.
Correctanswer:C
Question55:YouareusingDyna-Qtolearnapolicytohelpwithtradinganewmutualfund.Youonlyhaveafewdaystotradebeforeyouneedtocashoutforotherreasons.Tomodelthistimeconstraintdoyou:
A) Useahighalpha(learningrate)sothatyoulearnyourpolicyquickly.
B) Usealowlambda(discountrate)becauseyouvaluelaterrewardsless.
C) Usefewerhallucinationcyclessothatyouhavemoretimetotrade.
D) Useasmallersetoftrainingdatatomimicthesmalltimeframeyouwillhavetotrade.
Correctanswer:B
Question56:Assumebetarepresentsthemarketreturnandalpharepresentstheresidualreturn.WhichanswerbelowexactlycontainsthefactorsthatInformationRatioisrelatedto?
A) std(beta),std(alpha),mean(alpha)B) mean(beta),std(beta),std(alpha)C) mean(beta),std(beta)D) mean(alpha),std(alpha)
Correctanswer:D
Question57:WhatisthecorrectsequenceforthecycledescribingtheRLproblem?
A) Analyze,Remember,ActB) Sense,Think,ActC) Think,Sense,ActD) Remember,Act,Analyze,
Correctanswer:B
Question58:Accordingtothemovie,whathappenedinthesecondquarterof'07thatcausedmortgagedefaultstoskyrocket?
A) TheadjustableratesonthemortgageskickedinB) TheFederalReserveraisedinterestratesC) BanksbeganissuingsyntheticCDOsD) LehmanBrothersandBearStearnscollapsed
Correctanswer:A
Question59:WhichofthefollowingmethodsisNOTavalidwayofsolvingareinforcementlearningproblem?
A) TransitionIterationB) ValueIterationC) Q-LearningD) PolicyIteration
Correctanswer:A
Question60:Whichofthefollowingarecharacteristicsoftechnicalanalysis?i.priceofstockii.valueofacompanyiii.volumeofstocktraded
A) ionlyB) iandiiC) iandiiiD) i,ii,andiii
Correctanswer:C
Question61:WhichofthefollowingarenotassumptionsoftheEfficientMarketsHypothesis?A) NewInformationarrivesrandomlyB) SmallnumberofinvestorsC) PricesadjustquicklyD) Pricesreflectallavailableinformation
Correctanswer:B
Question62:WhichofthefollowingistrueaboutMarkovChainproblems?
A) Thesumofallthenextstatesinrewardfunctionis1.B) Thesumoftheallthenextstatesintransitionfunctionis1.C) ThesumofallthenextstatesinsetSis1.D) ThesumofallthenextactioninsetAis1.
Correctanswer:B
Question63:Whyisagoodideatocreateaportfoliothatcombinesassetswithnegativecorrelations?
A) Togetmore"alpha"thananyindividualassetB) TomaximizereturnsbyshortingstocksC) ToreduceportfoliovolatilityD) Tobalanceweightsequallyamongallassets
Correctanswer:C
Question64:Reinforcementlearningalgorithmtriesto(selectonethatapplies)
A) FindapolicypithatminimizesTransitionfunction.B) FindapolicypithatminimizesRewardfunction.C) FindapolicypithatmaximizesTransitionfunction.D) FindapolicypithatmaximizesRewardfunction.
Correctanswer:D
Question65:WhichofthefollowingchoicesisnotanassumptionmadebytheEfficientMarketHypothesis?
A) TherearealargenumberofinvestorsB) PricesadjustquicklyC) PricesreflectallavailableinformationD) Themarketcanbebeatenbyefficienttradingpractices
Correctanswer:D
Question66:ThegoalforreinforcementlearningistofindaPolicyPIthatmapsastatetoanactionthatweshouldtakeanditsgoalistofindthispisuchthatitmaximizessomefuturesumofthereward.Whichofthefollowingisthewaythatwecalculatediscountreward?Supposenisafinitenumber,0<\lambda<1,andr_iistherewardfortheithaction.
A) Sum_{i=1}^{Inf}r_iB) Sum_{i=1}^{n}r_iC) Sum_{i=1}^{Inf}\lambda^{i-1}r_iD) Sum_{i=1}^{n}\lambda^{i-1}r_i
Correctanswer:C
Question67:ToassessweightsforportfoliothatminimizesriskusingMeanVarianceOptimizationtechnique,whataretheinputsrequired?
A) ExpectedReturn,Volatility,Covariance,TargetreturnB) ExpectedReturn,Volatility,StandardDeviation,TargetreturnC) Momentum,Volatility,StandardDeviation,MeanD) Bollingerbands,Volatility,StandardDeviation,Targetreturn
Correctanswer:A
Question68:AccordingtoEMH,whattypeofanalysis/analysescouldprovideexcessreturnsforthesemi-strongform?
A) TechnicalAnalysisB) FundamentalAnalysisC) AandBD) NeitherAorB
Correctanswer:D
Question69:WhichofthefollowingdidMarkBaum(ownerofFrontPointPartners)dointhemovie?
A) OpenuptohiswifeabouthisbrotherB) SellhisswapswhenVenettcouldnotconvincehimtobuymoreC) Discoverthattheratingagencieswouldcorrecttheratingsfor
subprimemortgagesD) MeetwithanacquaintancefromMoody's
Correctanswer:A
Question70:Stockoptionscanincreasethe___________ofaportfolio,astheinvestorcankeepmorecashonhanduptotheexpirationdate.
A) valueB) leverageC) riskinessD) stability
Correctanswer:B
Question71:InthemovieTheBigShort,whatdoesfinallyconvinceMarkBaumtostartbuyingcreditdefaultswapsonmortgages?A) WhenJaredVennetexplainedtheproblemusingaJengatowerB) AftertalkingtoMichaelBurryoverhisfindingsonMortgagebondsC) Afterinvestigatingneighborhoodsandpeoplegettingmultiple
mortgagesD) WhenhetalkedtoratingagenciesabouthowtheyratedCDOs
Correctanswer:C
Question72:Inthemovie"TheBigShort",hedgefundmanagerMichaelBurrydiscoversthattheUnitedStateshousingmarketisextremelyunstable.Therefore,hedecidestotakeashortpositionagainsttheUnitedStateshousingmarket.Whichoptioniscorrectaboutshorting?
A) Youalwayswinmoneywhentakingshortposition.B) Shortsellersborrowsharesofstockthattheydonotownandsell
thosesharesatthecurrentmarketprice.C) Shortsellerssellsharesofstockthattheyownandsellthose
sharesatthecurrentmarketprice.D) Shortsellersborrowsharesofstockthattheydonotownandsell
thosesharesatthelowercurrentmarketprice.
Correctanswer:B
Question73:Whatistherootcauseof2008financialcrisis?
A) hedgefundtradingwithderivativesB) increaseinmortgageinterestrateC) increaseinoilpriceD) decreaseinunemploymentrate
Correctanswer:A
Question74:IdentifytheFALSEstatementaboutthecomponentsthatmakeupaMarkovDecisionProblem.
A) States-afinitesetofstatesthattheprocesscanoccupyatacurrenttime
B) Actions-afinitesetofactionsthatcanbeenactedgivenastateC) Observations-eventsobservedthatareby-productsofthe
currentstateoftheprocessD) Rewards-themotivationgivenfortransitioningfromthecurrent
statetothenextstate
Correctanswer:C
Question75:PleaseselectstatementsthatareTrue:
A) InMarkovdecisiontreeprocesstherewardfromapplyingactiontothecurrentstatedependsonthepreviousstatesandpreviousactionsthatweretakenbytheagent
B) TheendgoaloftheMarkovdecisionproblemistofindapolicythatmaximizestotalrewards
C) Agentcanonlyreceiveonetypeofarewardatatime:eitheranimmediaterewardoradiscountedfuturereward
D) Transitionfunctionmapssetsofactionsintosetsofrewards
Correctanswer:B
Question76:WhichofthesemetricsarenotusedintheBollingerBandcalculationintroducedinlecture?
A) StandardDeviationB) MomentumC) SimpleMovingAverageD) Price
Correctanswer:B
Question77:ThecurrentmarketpriceofXYZis$pershare.Aninvestorplantopurchase1XYZ50callswith$2premiumpershareand1XYZ50putswith$2premiumpershare.Whatisthebreakevenpointsofthispurchase:
A) 46and52B) 48and54C) 46and54D) 48and52
Correctanswer:C
Question78:Supposeyouuseabutterflystrategy:buya105callat7.16anda115callat0.53,writetwo110callsat2.73.Whatisthebreak-evenpriceofthestrategy?
A) 107.23B) 107.76C) 110D) 110.53
Correctanswer:A
Question79:Whatproblemwouldbemosteffectivelyaddressedbyreinforcementlearning?
A) Forecastingtheweatherbyanalyzinginstantaneousmeasurements
B) ScoringwinebasedongradedtastefeaturesC) UsingsensorstonavigateanenvironmentD) Recognizingasongaftersamplingasmallportionofit
Correctanswer:C
Question80:WhichversionoftheEfficientMarketHypothesissuggeststhatinsidertradingcannotbepossible?
A) StrongB) Semi-strongC) WeakD) Alloftheabove
Correctanswer:A
Question81:WhichofthefollowingisnotpartoftheMarkovdecisionproblems:A) SetofstatesSB) SetofactionsAC) TransitionfunctionD) Valuefunction
Correctanswer:D
Question82:WhichofthefollowingdistinguishesaModel-BasedReinforcementLearningalgorithmfromaModel-Freealgorithm?
A) AModel-BasedalgorithmobservesthetransitionofanenvironmentfromstateStostateS’
B) AModel-BasedalgorithmusesrandomnesstoexploretheenvironmentwhileaModel-Freealgorithmdoesnot.
C) WhileaModel-Freealgorithmdoesnotattempttocreateamodelofthetransitionfunctionoftheenvironment(T[S,A,S’],itdoesattempttom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) BothAandC
Correctanswer:A
Question83:Ifmarketisperfectlyefficient,whichofthefollowingswillstillbeabletogeneratereturns?
A) HighfrequencytradersB) ActiveportfoliomanagersC) Passiveportfoliomanagers
Correctanswer:D
Question84:WhichofthefollowingisanotassumedaspartoftheEfficientMarketsHypothesis?
A) Thecurrentpricereflectsallavailableinformationandquicklyadjustsbasedondemand
B) TherearealargenumberofinvestorscompetingforgainsC) NewinformationarrivesconstantlyarrivesandrandomlyD) Thecurrentpricereflectsallavailableinformationandslowly
adjustsbasedondemand
Correctanswer:D
Question85:WhichoneofthefollowingstatementsisNOTcorrect?
A) Stockoptionsaresoldbyonepartytoanother.B) Theoptionbuyerhastherighttobuyorsellastockataspecific
price.C) Stockoptionswillexpireifthebuyersdon'texercised.D) BothAmericanoptionsandEuropeanoptionscanbeexercised
anytimebeforetheexpirationdate.
Correctanswer:D
Question86:Googlehasimplementedreinforcementlearningtotrainahumanrobothowtowalk.Therobotcanbesimplifiedasamulti-bodyobjectlinkedbyjoints(actuators).Googlewouldwanttotrainarobotthat:•Staystandaslongaspossible,donotfalldown• Moveasfastaspossible,donotrunoffthecenteroftheroad• beasefficientaspossible,theactuatorshouldapplyappropriateforce/torquetothejointThegoogleteamwantstoturntoyouforhelp:howcantheysolvethisproblemandformaRLproblem?PleaseselectthecorrectitemthatwouldbestmatchState,ActionandReward.
A) State:theforcesappliedtothejoints.Action:thecurrentpositionandvelocityofthejoint.Thesurfaceconditionoftheroad.Reward:AfunctionR=Vx–0.5(Vy+Vz)–0.5y2–0.5F2+0.01
B) State:thecurrentpositionandvelocityofthejoint.Thesurfaceconditionoftheroad.Action:theforcesappliedtothejointsReward:AfunctionR=-Vx+0.5(Vy+Vz)–0.5y2–0.5F2+0.01
C) State:thecurrentpositionandvelocityofthejoint.ThesurfaceconditionoftheroadAction:theforcesappliedtothejointsReward:AfunctionR=Vx–0.5(Vy+Vz)–0.5y2–0.5F2+0.01
D) State:ThesurfaceconditionoftheroadAction:Theforcesappliedtothejoints.Thecurrentpositionandvelocityofthejoint.Reward:AfunctionR=Vx–0.5(Vy+Vz)–0.5y2–0.5F2+0.01
Correctanswer:C
Question87:WhatisNOTcorrectregardingtheQ-learningupdaterule?
A) Alphaislearningrate,indicatingthedependenceofthenewQ-valueontheoldone.
B) WeneedtofindtheactionthatmaximizetheQ-valueamongallpossibleactionswhencalculatingnewQ-value.
C) DiscountandimmediaterewardofbothpastandfutureactionsshouldbeconsideredwhencalculatingnewQ-value.
D) Thediscountfactorisusedtoreducethevalueoffuturerewards.
Correctanswer:C
Question88:IfyoubelieveintheweakformversionoftheEfficientMarketHypothesis,whichofthefollowingwouldyouNOTbelikelytoconsidervaluableinformation?
A) StockvolatilityoverthelastmonthB) InsiderknowledgeofanimpendingCEOchangeC) ThebookvalueofthecompanyD) Earningsreportcontents
Correctanswer:A
Question89:ThelowestpossibleSharperatioofaportfoliothatcontainsatleasttwostocksis:
A) higherthanthelowestSharperatioofanyonestockintheportfolio
B) equaltothelowestSharperatioofanyonestockintheportfolioC) lowerthanthelowestSharperatioofanyonestockinthe
portfolioD) noneoftheabove
Correctanswer:C
Question90:TheFundamentalLawofPortfoliomanagementstateswhichofthefollowing:
A) PortfolioperformanceincreasesasskillincreasesB) Portfolioperformanceincreasesastradingopportunities
increasesC) Highportfolioperformancecanonlybeguaranteedthrough
diversificationD) Both(A)and(B)
Correctanswer:D
Question91:Thegoalofreinforcementlearningistofindtheoptimalpolicy.Whatarepossibleoutputsofapolicyfunction?A) AsingleactionthatshouldbetakennextwheninaparticularstateB) AprobabilitydistributionoverasetofactionsC) AandBD) Noneoftheabove
Correctanswer:C
Question92:Iftwoportfoliomanagershavethesameinvestmentskills,whichoneyouwouldprefer?
A) Theonewhoworksinafamouscompanyoftheworld'stop500,butwithlimitedinvestopportunities.
B) Theonewhoworksinaverysmallcompany,buthavemanyopportunitiestoinvest
C) BotharegoodcandidatesduetothesameinvestmentskillsD) Aboveanswersarewrongduetothelackoffurtherinformation
Correctanswer:B
Question93:Iftwoportfoliomanagershavethesameinvestmentskills,whichoneyouwouldprefer?
A) Theonewhoworksinafamouscompanyoftheworld'stop500,butwithlimitedinvestopportunities.
B) Theonewhoworksinaverysmallcompany,buthavemanyopportunitiestoinvest
C) BotharegoodcandidatesduetothesameinvestmentskillsD) Aboveanswersarewrongduetothelackoffurtherinformation
Correctanswer:B
Question94:AboutQ-learning,whichstatementiswrong?
A) Q-learningisareinforcementlearningtechniqueusedinmachinelearning.
B) ThegoalofQ-learningistolearnapolicy.C) Itisdesignedtomakefuturerewardsworthmorethanimmediate
rewards.D) StateandactionaretwokeyelementsinQ-learning.
Correctanswer:C
Question95:SupposeyourbestfriendsisaCEOofacompany,andyoucouldalwaysacquirethelatestinsideinformationofthiscompany.ButonedayyoufindthatyoucouldNOTusethisadvantagetomakeprofits.Whichofthefollowingstatementsabouttheefficientmarkethypothesis(EMH)issupportedbyyourexperience?
A) TheweakversionofEMHisvalid.B) Thesemi-strongversionofEMHisvalid.C) ThestrongversionofEMHisvalid.D) Noneofabove
Correctanswer:C
Question96:TechnicalAnalysisismosteffectivefor...
A) MakingcomplextradingdecisionsB) AnalyzingcashflowandbookvalueC) MakingsimpletradingdecisionsD) Makinglong-termtradingdecisions
Correctanswer:C
Question97:WhichofthefollowingcanbeinferredbytheweakformoftheEfficientMarketHypothesis?
A) FuturepricesofAAPLcannotbepredictedbyanalyzinghistoricalprices.
B) PricesofAAPLwilladjustrapidlytoanynewinformationaboutthecompany.
C) PricesofAAPLreflectallknowledgeaboutthecompany,publicandprivate.
D) FuturepricesforAAPLcanbepredictedaccuratelybyanalyzinghistoricprices.
Correctanswer:A
Question98:WhenthinkingabouttradingstocksasaReinforcementLearningproblem.Whichchoiceisdefinedasanaction?
A) BuyB) HoldingLongC) DailyReturnsD) BollingerValue
Correctanswer:A
Question99:IncreaseinSMA(SimpleMovingAverage)overaperiodoftimeindicates:
A) IncreaseinvolatilityofthestockforthetimeperiodB) DecreaseinStockpriceforthetimeperiodC) IncreaseintheStockpriceforthetimeperiodD) NoChangeinstockprice
Correctanswer:C
Question100:Whichofthefollowingarestatesinatradingreinforcementlearningproblem?(LookingforanS)
A) BuyingB) HoldingLongC) LeverageD) CumulativeReturn
Correctanswer:B
Question101:Whatisconsideredamajorbenefitofexchange-tradedstockoptions?A) ThepremiumcanberefundedatanytimebeforetheexpirationdateB) Thelossiscappedtothepremium
Correctanswer:B
Question102:SayDISstockiscurrentlytradingat$50pershare.Nowwepurchaseonecalloptioncontract(100shares)onDISwitha$70strikeandatapriceof$5.00percontract.Pleaseselectthecorrectdescriptionbelow:
A) IntheU.S.WecanonlyexercisetheoptionontheexpirationdateB) Thecostofbuyingtheoptionis$500C) Ifweexercisetheoptionwhenthestockpriceis$70,theactual
profitwillbe$2000D) Wewillmakeaprofitifexercisetheoptionwhenthestockprice
goesupto$60
Correctanswer:B
Question103:Howwillinformationratiochangeifaddingadditionalcashtotheportfolio?
A) Noeffect.B) Theinformationratiowillincrease.C) Theinformationratiowilldecrease.D) Theeffectdependsonmarketconditions.
Correctanswer:C
Question104:WhichofthefollowingistruefortradingwithBollingerBands?
A) Largebreakoutsoftenoccurafterperiodsoflowvolatilitywhenthebandscontract.
B) Nobreakoutsusuallyoccurafterperiodsoflowvolatilitywhenthebandscontract.
C) Bearishbreakoutsoftenoccurafterperiodsoflowvolatilitywhenthebandscontract.
D) Bullishbreakoutsoftenoccurafterperiodsoflowvolatilitywhenthebandscontract.
Correctanswer:A
Question105:StockAandstockBeachgivesa12%annualreturn.DailyreturnsstandarddeviationofstockAis0.0027andstockBis0.0031.Ifyouhave$100whichoneofbelow4optionswouldbethebestinvestmentstrategytoinvestthe$100?
A) $55inStockA,$45inStockBB) $100inStockBC) $45inStockA,$55inStockBD) $100inStockA
Correctanswer:D
Question106:Youhave30candidateliquiddriversymbolse.g.SPY,XLE,XLFetc.Youbelievethereexistsalinearrelationshipbetweenthose30liquidinstruments'returnsandanilliquidinstrument'sreturnse.g.SNOW:r_SNOW=\Beta_SPY*r_SPY+\Beta_XLE*r_XLE+\Beta_XLF*r_XLF+\cdots.However,youbelievetherelationshipissparsei.e.mostBetasarezero.Whichofthefollowingregressiontechniqueswouldproduceasparselinearrelationship?Hint:ThinkabouthowapenaltybehaveswhentheBetaissmall.
A) LassoRegressioni.e.penalizetheabsolutevalueofeachregressor'sbeta
B) RidgeRegressioni.e.penalizethesquareofeachregressor'sbetaC) RANSACi.e.fitasimplelinearmodelfromrandomsubsetsof
"inliers".D) SimpleLinearRegressiononthePrincipalComponentsofthe
LiquidInstruments
Correctanswer:A
Question107:Youhave30candidateliquiddriversymbolse.g.SPY,XLE,XLFetc.Youbelievethereexistsalinearrelationshipbetweenthose30liquidinstruments'returnsandanilliquidinstrument'sreturnse.g.SNOW:r_SNOW=\Beta_SPY*r_SPY+\Beta_XLE*r_XLE+\Beta_XLF*r_XLF+\cdots.However,youbelievetherelationshipissparsei.e.mostBetasarezero.Whichofthefollowingregressiontechniqueswouldproduceasparselinearrelationship?Hint:ThinkabouthowapenaltybehaveswhentheBetaissmall.
A) LassoRegressioni.e.penalizetheabsolutevalueofeachregressor'sbeta
B) RidgeRegressioni.e.penalizethesquareofeachregressor'sbetaC) RANSACi.e.fitasimplelinearmodelfromrandomsubsetsof
"inliers".D) SimpleLinearRegressiononthePrincipalComponentsofthe
LiquidInstruments
Correctanswer:A
Question108:WhatdoesthehousingcrisissuggestabouttheEfficientMarketHypothesis?
A) ItcorroboratestheEMHbecausecertainhedgefundswereabletoshortthehousingmarketusingdatacollectedfrommortgagedata.
B) Marketbubblesdon'texist.TheEconomyisperfect.Everythingisalwaysfine.
C) ItcontradictstheEMHbecauseinformationrelevanttothecrashwasnotreflectedinhousingmarketshareprices.
D) ItcorroboratestheEMHbecausethecrashcouldhavebeeneasilypredictedfromtheavailablestockpriceinformation.
Correctanswer:C
Question109:Assumeyoubought100buyoptioncallsat$110strikepriceofAAPLstock,whichtakes$300asthepremium.Thestockpricemovedfrom$115to$120.Whatisthemaximumreturnavailable?
A) 10000B) 300C) 9700D) noneofabove
Correctanswer:C
Question110:WhichofthebelowstatementsismostcorrectaboutDyna?
A) Dynautilizesamodel-freebasedmethod.B) Dynautilizesamodel-basedmethod.C) AandB.D) Noneoftheabove.
Correctanswer:C
Question111:Accordingtoportfoliooptimizationandtheefficientfrontier,whatisdefinedas"Risk"?A) VolatilitybetweentwostocksB) StandarddeviationofhistoricaldailyreturnsC) StandarddeviationofhistoricalyearlyreturnsD) Whenthetotalmarketcapofacompanyishigherthanitsbook
value,itis"risky"
Correctanswer:B
Question112:WhichofthefollowingstatementaboutefficientmarketassumptionsisFALSE?
A) Pricesaredrivenbysmallgroupsofwallstreethedgefundswithefficientalgorithms.
B) Priceadjustquickly.C) Newinformationarrivesrandomlyandtransparently.D) Neithertechnicalnorfundamentalanalysiscanproducerisk-
adjustedexcessreturnsunderefficientmarketassumptions.
Correctanswer:A
Question113:WhichofthefollowingstatementaboutefficientmarketassumptionsisFALSE?
A) Pricesaredrivenbysmallgroupsofwallstreethedgefundswithefficientalgorithms.
B) Priceadjustquickly.C) Newinformationarrivesrandomlyandtransparently.D) Neithertechnicalnorfundamentalanalysiscanproducerisk-
adjustedexcessreturnsunderefficientmarketassumptions.
Correctanswer:A
Question114:IftheweakformoftheEMHiscorrectthen
A) Technicalanalysiswillbesuccess(predictionthefuturepricebasedonhistoricalpriceandvolumedata)
B) TechnicalanalysiscannotsucceedC) FundamentalanalysiscannotworkD) BandC
Correctanswer:B
Question115:WhatarethetwocomponentsoftakingactionainstatesforQ[s,a]?
A) maximumreward,minimumrewardB) immediatereward,discountedrewardC) longreward,shortrewardD) callreward,putreward
Correctanswer:B
Question116:Whatisthemostimportantfactortomakealessvolatileportfolioforthecombinationsofseveralstocks?
A) AveragepriceofstocksB) CovarianceofstocksC) AveragedailyreturnofstocksD) Standarddeviationofdailyreturnofstocks
Correctanswer:B
Question117:Aportfoliocanlieabovetheefficientfrontier.
A) Correct,theefficientfrontierrepresentsthehighestriskportfolioforagivenlevelofreturn.
B) Correct,theefficientfrontierrepresentsthelowestriskportfolioforagivenlevelofreturn.
C) Incorrect,theefficientfrontierrepresentsthehighestriskportfolioforagivenlevelofreturn.
D) Incorrect,theefficientfrontierrepresentsthelowestriskportfolioforagivenlevelofreturn.
Correctanswer:D
Question118:Selectonethathasoptionsonbesidesstocks:
A) CommoditiesB) InsuranceC) House
Correctanswer:A
Question119:Whichoneofthefollowingsentencesistruefortheefficientmarkethypothesis?
A) TherearefourformsoftheEMH:weak,semi,semi-strongandstrong
B) IftheEMHiscorrectthenhedgefundmanagerscannotsucceedC) Sinceallthehedgefundmanagerscanidentifysimilar
opportunitiestheyhavetoactontheseASAP.D) Alloftheabove
Correctanswer:C
Question120:TheassumptionthatpriceswilladjustrapidlytonewpublicinformationrepresentswhichformoftheEfficientMarketsHypothesis?
A) WeakB) Semi-strongC) StrongD) Quick
Correctanswer:B
Question121:Whatisrisk?A) standarddeviationofhistoricaldailyreturnB) covarianceofhistoricaldailyreturnC) inverseofsharpratioD) geometricaveragerateoflogarithmicofannualreturn
Correctanswer:A
Question122:Yourfriendhasbeenmonitoringthemarket,waitingforagoodtimetobuysomeGOOGL.Whichofthefollowingisthebesttechnicalindicatortomoveforwardwiththepurchase?
A) PriceshavebeenincreasingforafewdaysandjusthitthehigherBollingerBond.
B) PriceshavebeenincreasingforafewdaysandjusthitthelowerBollingerBond.
C) GOOGLannouncesearnings,whichwasmorethanexpectations.D) GOOGLannouncesearnings,whichwaslessthanexpectations.
Correctanswer:B
Question123:Doespolicyguaranteetoconverge?Ifitconverges,doestheoptimalpolicygeneratesoptimalvaluefunction?
A) Yes,YesB) Yes,NoC) No,YesD) No,No
Correctanswer:A
Question124:Basedsolelyontheforegoingprices,howwouldyoubestdescribetherelationshipbetweenStockAandStockB?Date(dd/mm/yyyy)StockAPriceStockBPrice1.02/05/2018$50.00$32.212.05/05/2018$51.09$31.983.07/05/2018$50.24$32.734.12/05/2018$53.19$30.745.23/05/2018$53.24$30.50
A) PositivelycorrelatedB) NegativelycorrelatedC) InsufficientdatatodeterminecorrelationD) Nocorrelation
Correctanswer:B
Question125:Whichofthefollowingschemaismodelfree?
A) PolicyIterationB) ValueIterationC) QLearningD) DecisionTree
Correctanswer:C
Question126:WhichofthefollowingwasNOTacontributingfactortothehousingcrisisinthemovieTheBigShort?
A) FEMAunablepayinsuranceclaimsfordamagetohomesduetoaveryhighcostofnaturaldisastersinprecedingyears.
B) Banksintentionallylendingtolowerqualityborrowerstocontinueissuingmanyhomeloans.
C) Thebeliefthatapositionofacombinedlargenumberofhighriskmortgagesecurities(strengthinnumbers)willresultinanoverallverylowriskpositioninthelongterm.
D) Toomanypeopletakingoutmortgagestopurchasehomesthattheycouldn'tafford.
Correctanswer:A
Question127:WhichofthestatementofQ-learningbelowisFalse?
A) Theagentsjobistomaximizecumulativereward.B) Q-learningdoesnotrequireamodeloftheenvironmentandcan
handleproblemswithstochastictransitionsandrewards.C) Agentsactionsaffectthesubsequentdataitreceives.D) Thelearningratedeterminestheimportanceoffuturerewards.
Correctanswer:D
Question128:Whichoneofthestatementsbelowiscorrectconsideringmovingaverage?
A) Amovingaveragehelpsremovedailyfluctuationfromanalysis.B) Theshorterthetimeperiodunderconsideration,theeasieritisto
predictlong-termtrends.C) Thelongerthetimeperiodunderconsideration,themore
sensitivethemovingaverageistowardsdailyvolatility.D) Amovingaverageisalwayscomputedusingthesamearithmetic
model.
Correctanswer:A
Question129:InQ-Learninganexperiencetupleisdenotedby.Whatdothevariabless,a,s'andrstandfor?
A) s=initialstate,a=action,s'=newstate,r=riskB) s=initialstate,a=action,s'=newstate,r=rewardC) s=newstate,a=action,s'=initialstate,r=rewardD) s=initialstate,a=alphavalue,s'=newstate,r=risk
Correctanswer:B
Question130:Asillustratedintheplotofthemovie"TheBigShort,"whichofthefollowingarecontributorsforthehousingmarketcollapseof2008:
A) increasingamountsofsub-primehomeloansawardedtounqualifiedbuyers
B) therepackagingofsub-primemortgagesintoCDOswhichobscuredtheirinherentrisk
C) incorrect(possiblyfraudulent)ratingsformortgage-backedsecurities/CDOsfromthemajorcreditratingagencies
D) alloftheabove
Correctanswer:D
Question131:WhentryingtoincreaseperformanceaccordingtotheFundamentalLaw,ingeneral,whichiseasiertoincrease:skillorbreadth?A) SkillB) Breadth
Correctanswer:B
Question132:InformationRatioIRistheSharpeRatioof:
A) ExcessDailyReturnB) CumulativeReturnC) AverageDailyReturnD) BenchmarkReturn
Correctanswer:A
Question133:Ifaportfoliomanager'sskillremainsconstant(IC)andtoimprovetheoverallperformance(IR)ofportfolioby5times,usingthefundamentallawhowmuchshouldthenumberoftradesincreaseby?
A) 5timesB) 25timesC) 10timesD) 100times
Correctanswer:B
Question134:FortheupdateruleofQtable,ahighervalueofalphaandahighervalueofgammaindicatewhichofthefollowing?
A) ThepreviousvalueofQispreservedless;Thelearningprocessislessquickly;Thelaterrewardsarevaluedmore
B) ThepreviousvalueofQispreservedmore;Thelearningprocessislessquickly;Theimmediaterewardsarevaluedless
C) ThepreviousvalueofQispreservedless;Thelearningprocessismorequickly;Thelaterrewardsarevaluedmore
D) ThepreviousvalueofQispreservedless;Thelearningprocessismorequickly;Thelaterrewardsarevaluedless
Correctanswer:C
Question135:Foraportfolioconsistingoftwostocks,whatkindofcorrelationbetweenthestocksminimizesthevolatilityorriskoftheportfolio?
A) Positivecorrelation(i.e.near+1correlation)B) Correlationdoesnotaffectportfoliorisk,onlycovariance.C) Nocorrelation(i.e.near0correlation)D) Negativecorrelation(i.e.near-1correlation)
Correctanswer:D
Question136:WhichisNOTtheassumptionofefficientmarketshypothesis?
A) PricedoesnotreflectallavailableinformationB) LargenumberofinvestorsinthemarketC) NewinformationisconstantlyarrivingD) Priceadjustquickly
Correctanswer:A
Question137:WhichformoftheEfficientMarketHypothesisstatesthatstockpricesareaffectedbyONLYthepastpriceinformation.
A) WeakB) Semi-strongC) StrongD) Alloftheabove.
Correctanswer:A
Question138:WhatisthenameofthewayhedgefundmanagerMichaelBurryshortstheUShousingmarket?
A) CollateralizedDebtObligationB) CreditDefaultSwapC) Stop-LimitOrderD) Mortgage-BackedSecurity
Correctanswer:B
Question139:Accordingtothemovie“thebigshort”,whichofthefollowingisright?
A) Modernmortgagebondsaregraded.AgradebondshavelessrisksthanBandC.
B) "Thebigshort"shortedAmericanhousemarketwithCDS(CreditDefaultSwap).
C) LTV(Loan-To-ValueRatio)isusuallyataround80%andshouldremainbelow100%.
D) Adjustable-ratemortagesofferflexiblepaymentoptionandaregoodforhousebuyers.
Correctanswer:B
Question140:AndreyMarkovwasaRussianmathematicianthatcreatedtheconceptofstochasticprocessmodelingthatwenowcalltheMarkovdecisionprocess(MDP).InthemathematicsofMDPs,Snormallyrepresentsthepossiblestates,Arepresentsthepossibleactionsthatcanbetaken,andRrepresentstherewards.Whatdoesπrepresent?
A) TheoptimalpolicyB) ThecurrentestimateofthepolicyC) TheoptimalvalueofthestateD) Thecurrentestimateofvalueatthatstate
Correctanswer:B
Question141:Considerthreedifferentfundsthatincreaseby10%overatrialperiod.FundAholds1stock,FundBholds2stocksthatareanti-correlated,andFundCholds2stocksthatarepositivelycorrelated.Whichfundcarriestheleastrisk?A) FundAB) FundBC) FundCD) FundBandFundCcarryequivalentlylowrisk.
Correctanswer:B
Question142:Whichofthefollowingisfalsewhenthinkingofamarketasareinforcementproblem?
A) SellingisastateB) MarketistheEnvironmentC) PriceisastateD) Marketfeatureisastate
Correctanswer:A
Question143:WhichofthefollowingisnotanEfficientMarketHypothesisassumption?
A) Therearealargenumberofinvestorsinteractinginthemarketforprofit.
B) Newinformationarrivesrandomly.C) Currentpricereflectsallavailableinformation.D) Singlestocksoftenoutperformthemarket.
Correctanswer:D
Question144:howdoesBollingerbandpredictthepriceofthestock?
A) thepriceofthestockisbracketedbyanupperandlowerbandalongwitha21-daysimplemovingaverage.
B) thepriceofthestockisthesameassimplemovingaverage.C) averagepriceofthestockofthesameday.D) thedifferenceofupperbandandlowerband.
Correctanswer:A
Question145:Theinformationcoefficient(IC)ofamanageris0.2.Themanagermakesmonthlybetson27stocks.Whatistheinformationratio(IR)(orperformance)ofthemanager?
A) 0.6*sqrt(3)B) 5.4C) 0.45*sqrt(3)D) 3.6
Correctanswer:D
Question146:TheequationforGrinold'sFundamentalLawofActivePortfolioManagementis:
A) InformationRatio(IR)=InformationCoefficient(IC)*sqrt(Breadth)
B) InformationRatio(IR)=InformationCoefficient(IC)*BreadthC) InformationCoefficient(IC)=InformationRatio(IR)*
sqrt(Breadth)D) InformationCoefficient(IC)=InformationRatio(IR)*Breadth
Correctanswer:A
Question147:howdoesBollingerbandpredictthepriceofthestock?
A) thepriceofthestockisbracketedbyanupperandlowerbandalongwitha21-daysimplemovingaverage.
B) thepriceofthestockisthesameassimplemovingaverage.C) averagepriceofthestockofthesameday.D) thedifferenceofupperbandandlowerband.
Correctanswer:A
Question148:Whatportfolioslieontheefficientfrontier?
A) TheportfolioswiththehighestSharperatioB) ThelowestriskportfoliosforeachlevelofreturnC) ThehighestreturnportfoliosforeachlevelofSharperatioD) Theportfolioswiththelowerrisk
Correctanswer:B
Question149:WhatwasthetypeofthederivativecontractsusedbythemaincharactersinthefilmTheBigShort?
A) CollateralizedDebtObligationsB) CreditDefaultSwapsC) Mortgage-BackedSecurityD) Adjustable-RateMortgages
Correctanswer:B
Question150:Considertradingasareinforcementlearningproblem.Whichofthefollowingdefinesthestateoftheenvironmentofthetradingproblem?
A) BuyB) SellC) ReturnfromtradeD) BollingerValue
Correctanswer:D
Question151:WhichofthefollowingistrueabouttheEfficientMarketHypothesis?A) ThereareasmallnumberofinvestorsB) NewinformationarrivesrandomlyC) PricesadjustslowlyD) pricesdon'treflectallavailableinformation
Correctanswer:B
Question152:Usingtheprinciplesbehindportfoliooptimizationwhatisoneelementweshouldbeconsideringinordertominimiseourportfolioriskifourportfolioconsistsoftwostocks?
A) Ensuretheco-variancebetweenthetwostocksispositiveB) EnsurethatthestandarddeviationofthestockpricesisminimalC) Ensurethattheco-variancebetweenthetwostocksisnegativeD) Usetheairspeedofanunladenswallowtodetermineportfolio
percentage.
Correctanswer:C
Question153:Ifacalloptionisfar'outofthemoney'thevalueoftheoptionwillbe:
A) EqualtothevalueofaputoptionwiththesameexercisepriceB) Greaterthanthevalueofaputoptionwiththesameexercise
priceC) LessthanthevalueofaputoptionwiththesameexercisepriceD) Noneoftheaboveiscorrect
Correctanswer:C
Question154:WhatisaSyntheticCDO?
A) CDOofdefaultedmortgagesB) CDOoftriple-AratedbondsC) CDOofbetsplacedbasedontheperformanceofotherassetsD) CDOoftreasurybonds
Correctanswer:C
Question155:Ifyourrewardfunctionoutputspositivevaluesforcorrectanswersandzeroforincorrectanswers,whatcouldbecausingawrongpolicyaftertraining?
A) Nothavingabalancednumberoftraininginstancesforeachstate.B) Usingarecursivefunctionforpolicylearning.C) Therewardfunctionshouldonlyoutputpositivevalues.D) Alloftheabovearecorrect.
Correctanswer:A
Question156:Consider5stocksA,B,C,DandE,eachhavingadailyreturnof10%.Followingistheircovariancematrix:ABCDEA10.9-0.9-0.9-0.9B0.91-0.9-0.9-0.9C-0.9-0.910.90.9D-0.9-0.90.910.9E-0.9-0.90.90.91Whichofthefollowingwouldbemostoptimalportfolio?
A) 20%A,20%B,20%C,20%D,20%EB) 25%A,25%B,16.6%C,16.6%D,16.6%EC) 33.3%C,33.3%D,33.3%ED) 50%A,50%B
Correctanswer:B
Question157:Whatisthesemi-strongformofEfficientMarketsHypothesis?
A) Tellsusthatanasset'spricereflectsallpubliclyavailableinfoB) Tellsusthatanasset'spricereflectsallpublicandprivateinfo
availableC) Tellsusthatanasset'spricereflectspasttradingvolumesand
correspondingprices
Correctanswer:A
Question158:WhatdoesbreadthrefertointheFundamentallawofactiveportfoliomanagement?
A) Breadthofinvestor'sexpertiseB) Investor'sSkilllevelC) Numberoftrades/OpportunitiesthattheinvestorhasaccesstoD) AandC
Correctanswer:C
Question159:Inwhichtradinghorizonisfundamentalanalysismorevaluablethantechnicalanalysis?
A) DaysB) MillisecondsC) YearsD) Alloftheabove
Correctanswer:C
Question160:Anoptionthatcanbeexercisedprofitablyfortheholderissaidtobe____;otherwise,itis______.
A) outofthemoney;inthemoneyB) inthemoney;outofthemoneyC) ataxliability;speculativebetD) coveredcall;nakedcall
Correctanswer:B
Question161:WhichoftheseisNOTinputtoMean-VarianceOptimization?A) ExpectedReturnB) VolatilityC) CovarianceD) Risk
Correctanswer:D
Question162:What’sthedifferentstepsrequiredtodefineaReinforcementLearningproblem?
A) Setofstates(S),Setofactions(A),Transitionfunction(T),Rewardfunction(R)
B) Setofstates(S),Setofactions(A),Transitionfunction(T),Rewardfunction(R),Policy(π)
C) Transitionfunction(T),Rewardfunction(R)D) Setofstates(S),Setofactions(A)
Correctanswer:B
Question163:WhichofthefollowingisNOTTRUEintheFundamentalLaw
A) informationratioisrelatedtothebetacomponentofthereturnofaportfolio
B) performanceismeasuredasinformationratioC) breadthisrelatedtonumberoftradesD) performance=skill*sqrt(breadth)
Correctanswer:A
Question164:WhichofthefollowingistrueaboutweakformofEMH:
A) Thereisnotypeofinformationthatcangiveaninvestoranadvantageonthemarket.
B) Onescannotpredictfuturestockpricesonthebasisofpaststockprices.
C) Onescannotpredictfuturestockpricesonthebasisofallinformation,futureproductlaunches,R&DDevelopments.
D) BothAandB.
Correctanswer:B
Question165:Accordingtothesemi-strongformofEfficientMarketHypothesis,peoplewhoinvestinstocksofacompanyafterthecompanyreleasesverypositivenewsconcerningthestockcanexpecttoearna/an
A) Normalreturnbecausethestockwillbefairlypricedwhenbought.
B) Lossbecausethingsareusuallynotwhattheyseem.C) Zeroreturnbecausethenextpriceofstockisexpectedtobethe
sameasthelastprice.D) Veryhighreturnbecausethenewinformationwillnotaffectthe
stockpriceuntillater.
Correctanswer:A
Question166:ConsiderstocksA,B,C.AandBhaveapositivecovarianceof0.8,BandChaveanegativecovarianceof-0.8.Whichofthefollowingallocationswouldhaveminimumrisk,butachievestargetreturns?
A) A:0.5B:0.5C:0.0B) A:0.0B:0.5C:0.5C) A:0.25B:0.25C:0.5D) A:0.5B:0.25C:0.25
Correctanswer:C
Question167:REQUIREDIMAGE:https://imgur.com/0TLM8HEUsethefigurelinkedabovetoanswerthefollowingquestion: Letthischartrepresenttheefficientfrontierforsomeportfolio,theminimumreturndenotedbythegreenline,andthemaximumriskbytheredline.Whichoftheseportfolio(s)areconsidered"acceptable"?
A) a,b,anddB) bandcC) dandaD) b
Correctanswer:D
Question168:Whatarethe'layers'ofamortgagebondcalled(i.e.AAA,BBB,etc.)?
A) LevelsB) TranchesC) PropertiesD) Pools
Correctanswer:B
Question169:Whichofthefollowingisn'taninputtoMeanVarianceOptimization?
A) VolatilityB) ExpectedReturnsC) SharpeRatioD) Covariance
Correctanswer:C
Question170:Johncreatesaportfolioofassetsperformingabovetheefficientfrontier.Whatdoesthismean?
A) Hisportfolioisoptimal.B) Hisportfolioissuboptimal.C) Hisportfolioissuperoptimal.D) Hisportfolioisnotpossible.
Correctanswer:D
Question171:WhichofthefollowingisacharacterizationoftheEfficientMarketsHypothesis?A) Marketsefficientlyincorporateallpublicinformation,which
consequentlyrendersbeatingthemarketimpossible.B) ThestockmarketintheU.S.outperformseveryotherstockmarketin
theworld.C) Stocksearnahigherreturnthanbonds,becausetheyareriskier
investments.D) TheEfficientMarketsCorporationshouldbeincludedintheS&P500
index.
Correctanswer:A
Question172:Howmanysharesaretypicallyincludedinanoptionscontract?
A) 10B) 50C) 100D) 1000
Correctanswer:C
Question173:Whatisasymptomof"mania"asdescribedinthemovieTheBigShort?
A) NegativepublicsentimentB) ArapidriseincomplexityandratesoffraudC) BullishmarketsentimentD) Suddendownwardspikesinsecurityprices
Correctanswer:B
Question174:Asyouincreasethe"lookback"periodfrom5daysto100days,howwillthelinerepresentingthesimplemovingaverage(SMA)change?
A) Itwilllikelybecomemore"staggered"looking,withmanymorehighsandlows
B) Itwilllikelybecome"smoother"looking,withfewerhighsandlows.
C) Itwillbecomeindistinguishablefromthepriceline.D) Itdependsonthestock,thereisnotenoughinformationtotell.
Correctanswer:B
Question175:WhatistheequationforGrinold'sFundamentalLaw?
A) performance=skill*sqrt(breadth)B) performance=breadth*sqrt(skill)C) breadth=skill*sqrt(performance)D) performance=skill*breadth^2
Correctanswer:A
Question176:BasedontheFundamentalLawofactiveportfoliomanagement,InformationRation(IR)canbeidentifiedas:
A) Thecorrelationofthemanager’sforecastonactualreturns.B) Thebetaoftheportfoliotimesthereturnonthemarketforthat
day.C) Thesharperatioofexcessreturn.D) Theaverageofthehistoricdailyvaluesofalphaovertheaverage
ofthehistoricdailyvaluesofbetaforaportfolio.
Correctanswer:C
Question177:Whichchoicewillincreasetheinformationratiothemost?
A) Increaseinformationcoefficientby0.1B) Increaseinformationcoefficientby600C) Increasebreadthby300D) Increasebreadthby500
Correctanswer:D
Question178:InregardtoQLearning,whichofthefollowingintermsofrewardresultsinfasterconvergence?
A) r=dailyreturnB) r=0untilexit,thencumulativereturnC) NoneoftheaboveD) BothAandBarecorrect
Correctanswer:A
Question179:Ifyouthinkthatyoucanbeatthemarketusingonlypriortradingdata,youbelievethat
A) Themarketisinefficientandtheweakformoftheefficientmarkethypothesisisfalse.
B) Themarketisefficientandtheweakformoftheefficientmarkethypothesisistrue.
C) Themarketisinefficientandthestrongformoftheefficientmarkethypothesisisfalse.
D) Themarketisefficientandthestrongformoftheefficientmarkethypothesisistrue.
Correctanswer:A
Question180:WhatisthecorrectorderofbuildingaQ-Learningmodel:(1)definecombinedstates,actions,rewards(2)choosein-sampletrainingperiod(3)iterateandupdatetheQ-table(4)implementingbacktesting
A) (1)(2)(3)(4)B) (1)(3)(2)(4)C) (3)(1)(2)(4)D) (2)(1)(4)(3)
Correctanswer:A
Question181:Whatmakesreinforcementlearningdifferentfromothermachinelearningparadigms?A) Thereisnosupervisor,onlyarewardsignalB) FeedbackisinstantaneousC) TimedoesnotmattersD) Agent'sactionsdonotaffectthesubsequentdataitreceives
Correctanswer:A
Question182:Accordingtothelectures,whichoftheseisNOTaninputtomean-varianceOptimization?
A) ExpectedreturnB) VolatilityC) CovarianceD) Assetweights
Correctanswer:D
Question183:Informationwhichisreflectedincurrentmarketpriceswithhelpofpastpricemovementsisclassifiedas
A) weakformefficiencyB) semistrongformefficiencyC) strongformefficiencyD) marketefficiency
Correctanswer:A
Question184:Accordingtolectures,whichoftheseisNOToneofthefourinputsformean-varianceoptimization?
A) TargetreturnB) ExpectedReturnC) CovarianceD) AssetWeights
Correctanswer:D
Question185:Whichofthefollowingcannotbeusedfortechnicalanalysis?
A) intrinsicvalueB) percentbollingerC) SimpleMovingAverageOfPriceD) percentchangeinvolumne
Correctanswer:B
Question186:TheCEOofacreditratingagencylearnsfromhisCTOthattheirdatabaseswerebreachedbyattackersinamassiveattack,buttheknowledgehasnotbeenmadepublicyet.HetellshisfamilytoSHORThiscompany'sstockbeforethepressconferencetoannouncethebreach.Underwhichform(s)oftheEfficientMarketsHypothesiswillthisyieldresultsforhisfamily?
A) StrongformB) StrongandSemi-strongformsC) Semi-strongandWeakformsD) Semi-strongform
Correctanswer:CQuestion187:Thefundamentallawstatesthatinordertoincreasetheperformance(IR),breadthandinformationcoefficientwillhavewhateffect?
A) IfincreasingthebreadthcomponentbytwotimesthecurrentBR,theIRwillincreasebytwotimes
B) IfincreasingthebreadthcomponentbyfourtimesthecurrentBR,theIRwillincreasebytwotimes
C) IfincreasingtheinformationcoefficientbytwotimesthecurrentIC,theIRwillincreasebyfourtimes
D) IfincreasingtheinformationcoefficientbyfourtimesthecurrentIC,theIRwillincreasebyfourtimes
Correctanswer:B
Question188:WhichofthefollowingstatementsaboutQ-LearningandDynaisTRUE?
A) Q-LearningisguaranteedtoconvergetotheoptimalpolicyB) Q-LearningisagreedyalgorithmC) Q-Learningwillconvergefasterusinglong-termrewardsinstead
ofshort-termrewardsD) Dynaisusefulforspeedingupruntime
Correctanswer:A
Question189:Ifthesemi-strongefficientmarkethypothesiswereproventrue,whichofthefollowingwouldremainreliablyprofitabletradingstrategies?
A) InvestinginahedgefundwithahighalphaB) Tradingbasedoninsiderinformation(andgettingawaywithit)C) BuildingatradingstategybasedonpastpricemovementsD) Quicklyidentifinggoodandbadnewsconcerninganassetand
tradingitaccordingly
Correctanswer:B
Question190:WhenisTechnicalAnalysiseffective?Choosecorrectanswers.
A) WorksbetteroverlongertimeperiodsthanshortertimeperiodsB) Tolookforcontrasts(stockvsmarket)C) CombinationsformultipleindicatorsareweakerD) Individualindicatorsarestrong
Correctanswer:B
Question191:WhichfactoroftheFundamentalLawiseasiesttoimprove?A) PerformanceB) SkillC) BreadthD) InformationCoefficient
Correctanswer:C
Question192:Fromthefundamentallaw,whichwillshowthebestperformance?
A) Highskill,highbreadthB) Highskill,lowbreadthC) lowskill,lowbreadthD) lowskill,highbreadth
Correctanswer:A
Question193:WhenisTechnicalAnalysiseffective?Choosecorrectanswers.
A) WorksbetteroverlongertimeperiodsthanshortertimeperiodsB) Tolookforcontrasts(stockvsmarket)C) CombinationsformultipleindicatorsareweakerD) Individualindicatorsarestrong
Correctanswer:B
Question194:WhichofthefollowingstatementsaboutQlearningistrue?
A) AlowvalueofalphameansthatpreviousQvalueismorestronglypreserved.
B) AlowvalueofalphameansthatnewQvalueismorestronglypreserved.
C) Alowvalueofgammameansthatwevaluelaterrewardsverysignificantly
D) Noneoftheabove
Correctanswer:A
Question195:IntheCoinFlipCasinoproblem,therisk-adjustedrewardinamultibetscenarioisgivenby:
A) sqrt(SR_single)*sqr(BR)B) sqr(SR_single)*sqrt(BR)C) SR_single*sqrt(BR)D) SR_single*sqr(BR)
Correctanswer:C
Question196:Pricetoearningsratiosshowpersistentcorrelationwithlong-termannualizedreturnsonstocks.Thisdataappearstorefute:
A) weakformofEfficientMarketHypothesis(EMH)B) Semi-strongformofEMHC) Both(a)and(b)D) NoversionsofEMH,asitisalreadypricedintostockvalues
Correctanswer:B
Question197:Q-SelectthestatementwhichisTRUEregardingusingRLformarkettrading?
A) Wecanusethepolicyiterationalgorithmtofindtheoptimumpolicybecauseourtransitionmatrixiswelldefined.
B) Wecanusethevalueiterationalgorithmtofindtheoptimumpolicybecauseourrewardfunctioniswelldefined.
C) Wecanlookatprevioustransitionsanduseamodeltoformanoptimumpolicy.
D) Ifweknowtherewarddiscountrate(denotedbygamma),wecanusethevalue-iterationalgorithmtofindtheoptimalpolicy.
Correctanswer:C
Question198:ReinforcementLearningcanbeappliedfortradinginthefollowingcontext
A) PredictFuturePriceofaStockB) UseasaPriceIndicatorC) PredictwhethertoBuyorSellD) ItsonlyforbeatingGameslikeGo
Correctanswer:C
Question199:Whatarethe3variantsoftheefficient-markethypothesis?
A) Weak,semi-strong,strongB) Weak,average,strongC) Unrelated,weak,strongD) Unrelated,semi-strong,strong
Correctanswer:A
Question200:Q-WhichstatementisTRUEregardingusingReinforcementLearningformarkettrading?
A) Wecanusethepolicyiterationalgorithmtofindtheoptimumpolicyasourtransitionmatrixiswelldefined.
B) Wecanusethevalueiterationalgorithmtofindtheoptimumpolicyasourrewardfunctioniswelldefined.
C) Wecanlookatprevioustransitionsanduseamodeltoformanoptimumpolicy.
D) Ifweknowtherewarddiscountrate(denotedbygamma),wecanusethevalue-iterationalgorithmtofindtheoptimalpolicy.
Correctanswer:C
Question201:Whichoneofthefollowinginformationwouldholdusback(notencourage)fromapplyingTechnicalAnalysisforastock?A) Currentpriceofthestock&pricemovementsdiscountseverything
i.e.pricesfullyreflectalltheinformationB) Performanceofannual,quarterlyreports(earnings,employeecosts,
developmentcosts)C) Informationonpercentagechangeinvolumeofstockssince
beginningD) Pricecorrelationinformationofthestockwithmarket
Correctanswer:B
Question202:Whatchangesinthe1970’sleduptothe2008financialcrises?
A) FederalReservedroppedinterestratesandhigherinflationB) Mortgage-backedsecuritieswerecreatedC) OilpricesincreasedcreatedhighercostsgloballyD) WallStreetandBanksregulationswererelaxedbythefederal
goverment
Correctanswer:B
Question203:WhatdoSyntheticCDOs(CollateralizedDebtObligation)primarilyinvestin?
A) RealestateequityB) MortgageBondsC) HousingpropertyD) Creditdefaultswaps
Correctanswer:D
Question204:Alice'sportfoliohasthesamemeanperformancealpha,aswellasthesamevolatilityasBob'sportfolio.Alicemakes4tradesperyearandBobmakes64tradesperyear.Comparingeachoftheirskilllevelsinmakingtradeswecansaythat:
A) Aliceis4timesmoreskillfulthanBobB) Aliceis16timesmoreskillfulthanBobC) Bobis4timesmoreskillfulthanAliceD) AliceandBobhavethesameskilllevel
Correctanswer:A
Question205:WhichofthefollowingisFALSEbasedonTheFundamentalLawappliedtoactiveportfoliomanagement?
A) SharpeRatiogrowsfasterasbreadthincreases(relativetoskill)B) HigheralphageneratesahigherSharpeRatioC) MoretradingopportunitiesprovidesahigherSharpeRatioD) SharpeRatiogrowsfasterasskillincreases(relativetobreadth)
Correctanswer:A
Question206:WhichformoftheEfficientMarketHypothesispreventsprofitingfromTechnicalAnalysis?
A) WeakB) Weak&Semi-StrongC) Semi-Strong&StrongD) Weak&Semi-Strong&Strong
Correctanswer:D
Question207:WhichofthefollowingstatementsisFALSEaboutdiscountedreward?
A) Theclosergammaisto1,thelesswevaluerewardsinthefuture.B) Theclosergammaisto0,thelesswevaluerewardsinthefuture.C) Ifthegamma=1,thentheequationisthesameasinfinitehorizon.D) Gammaisavaluefrom0.0to1.0
Correctanswer:A
Question208:WhichEfficientMarketHypothesisassumptiondoesnotleadtoprohibitingfundamentalinformationformakinginvestmentdecisions?
A) LargeNumberofInvestors--sincethefundamentalinformationisknowntoeveryonethenumberofinvestorsdoesnotaffecthowtheinformationisused
B) NewInformationarrivesRandomly--sincethefundamentalinformationisreleasedatregularintervalstoeveryone,thereisnotrandomnessinhowinformationarrives
C) PricesAdjustQuickly--sincethefundamentalinformationisbroadknowledgeaboutthecompany,itdoesnotmatterhowquicklythepricechanges
D) PricesReflectallAvailableInformation--sinceIasaninvestorhavethisfundamentalinformationandhavenotmadeaninvestmentchoice,thiscannotbetrue
Correctanswer:B
Question209:WhichofthefollowingisNOTassumedbytheefficientmarkethypothesis?
A) Thereisalargenumberofinvestorsparticipatinginthemarket.B) Newinformationarrivespredictably.C) Astockspricequicklyadjusttoanynewinformation.D) Astockscurrentpricereflectsallinformationaboutthatstock.
Correctanswer:B
Question210:Alice'sportfoliohasthesamemeanperformancealpha,aswellasthesamevolatilityasBob'sportfolio.Alicemakes4tradesperyearandBobmakes64tradesperyear.Comparingtheirskilllevelsinmakingtrades,wecansaythat:
A) Aliceis4timesmoreskillfulthanBobB) Aliceis16timesmoreskillfulthanBobC) AliceandBobhavethesameskilllevelD) Bobis4timesmoreskillfulthanAlice
Correctanswer:A
Question211:Whentryingtomaximizerewardinreinforcementlearning,whatformulationisnotvalid?A) infinitehorizonB) MarkovdecisionC) finitehorizonD) discountedreward
Correctanswer:B
Question212:InformationRatioaccordingtoGrinoldsFundamentalLawis
A) IR=ICxsqrt(Breadth)B) IR=sqrt(ICxBreadth)C) IR=ICxBreadthD) IR=sqrt(IC)xBreadth
Correctanswer:A
Question213:Whennormalizingtechnicalindicators,youdivideby:
A) themeanB) thestandarddeviationC) thevalueonday1D) thesumofallvalues
Correctanswer:B
Question214:ConsideraEuropeancalloptionfor100sharesofIBMCorporation,whosestrikepriceis$170pershareandwhichmatures18monthsfromnow.Whatdoesthisoptionentitleyoutodo?
A) Atthematuritydate,thatis18monthsfromnow,youhavetheright,butnottheobligationtopurchase100sharesofIBMCorporationfor$170pershare.
B) Betweennowand18monthsfromnow,youareentitledtomakeaphonecalltotheEuropeanheadquartersofIBMCorporationtoinquireaboutthevalueof100sharesofIBM.
C) Betweennowand18monthsfromnow,youhavetheright,butnottheobligationtopurchase100sharesofIBMCorporationfor$170pershare.
D) Atthematuritydate,thatis18monthsfromnow,youhavetheright,butnottheobligationtosell100sharesofIBMCorporationfor$170pershare.
Correctanswer:A
Question215:WhenmappingtradetoRL,whichoftheseisnotconsideredastate?
A) BollingerValueB) HoldingaStockC) SellingaStockD) DailyReturnfromthestock
Correctanswer:C
Question216:Grinold'sFundamentalLawseekstomathematicallyrelatewhichfacetsofinvesting?
A) PerformanceandSkillB) RiskandDiversificationC) Performance,Skill,andBreadthD) Risk,Returns,andBreadth
Correctanswer:C
Question217:Giventwoactiveinvestorswithtwodifferentinformationratios.InvestorAhasanInformationCoefficientof0.02andexecutes1000independenttradesayear.InvestorBhasanICof0.05andexecutes100tradesayear.WhichinvestorisexpectedtohavethehighestIRbasedontheFundamentalLaw.
A) InvestorAB) InvestorBC) TheyhavethesameD) Wecannottell
Correctanswer:A
Question218:Technicalanalysisconsiderstheintrinsicvalueofacompany:
A) FalseB) True
Correctanswer:A
Question219:Ifgivenachoiceforthefrequencythattime-seriesrewardvaluesareevaluatedbyaQ-Learner,whichwouldresultinthefastestconvergence?
A) RewardsevaluatedattheendofeachdayB) RewardsevaluatedattheendofeachyearC) RewardsevaluatedattheendofeachsecondD) Rewardsevaluatedattheendofthesampleperiod
Correctanswer:C
Question220:AccordingtotheEfficientMarketHypothesis(EMH)astockcandeviatefromitsfairvaluemarketpriceifitisundervaluedorovervalued.PleasemarkTrueorFalse.
A) TrueB) False
Correctanswer:B
Question221:AccordingtotheFundamentalLawofActivePortfolioManagement,theinformationcoefficientisdefinedas:A) thestandarddeviationoftheoreticalreturnsdividedbyactual
returnsB) thenumberoftradingopportunitiespresentedtoaportfolio
managerovertimeC) thecorrelationofportfoliomanager'spredictionaboutasset'sprice
withtheiractualfuturepricesD) theamountofinformationgainedaboutagivenasset
Correctanswer:C
Question222:IntheQ-Learningalgorithmassumeweareintheseconditerationwithanexperiencetuple.ListdownthecorrectsequenceofthebelowgivenstepstobefollowedtomakesurewecorrectlyupdateourQtable1InformationwejustlearnedistakentoimproveQ2Observerewardands'3Statesiscomputed4Qtableissetwithsmallrandomnumbersandthetimeisinitialized5Weconsultourpolicy,orinotherwordsweconsultQtofindthebestactioninthecurrentstate
A) 45321B) 34512C) 43521D) 35421
Correctanswer:C
Question223:T/F:Grinold'sFundamentalLawappliestopassiveportfoliomanagement
A) TrueB) False
Correctanswer:B
Question224:Whentradingstrategyisrepresentedasareinforcementlearningproblem,the"reward"parameterrepresentswhatvalue?
A) Theexponentialweightedaverageoftheprevious21tradingdays.
B) Thereturnonourinvestment.C) Thestandarddeviationofdailyreturnssofar.D) TheSharpeRatio.
Correctanswer:B
Question225:Oneofthevariablesforthefundamentallawistheskillofinvestorinselectingsecurities.Howdoesthisinvestorincreasethisvariable?
A) IncreasehisbreadthofknowledgeB) IncreasehiswidthofknowledgeC) LearnouterbutrelatedmarketsD) Partnerupwithanotherinvestorwithsameknowledge
Correctanswer:A
Question226:Amongfourstrategiesofoptions,whichone’smaximumlossistheoreticallyunlimited?Therefore,weshouldmanagethisstrategyverycarefully.
A) BuyCallB) BuyPutC) WriteCallD) WritePut
Correctanswer:C
Question227:SelecttheFALSEstatementabouttechnicalanalysisbelow:
A) Ascomparedtofundamentalanalysis,technicalanalysisworksbetteronsmallertimescales
B) Anexampleusingtechnicalanalysismaytakeintoaccountstockprice,volume,andbookvalue
C) TechnicalanalysisstrategiesarehighlyutilizedinHedgeFundsD) Sharperatio,pricemomentum,andBollingerBandpositionwould
allbeconsideredindicatorsintechnicalanalysis
Correctanswer:B
Question228:Tombought1optionforAAPLofwhichthestrikepriceis$110.Thepriceofthisoptionis$5.Supposebeforetheexpirationdate,thestockpriceofAAPLwentupto$120andTomdecidedtoexercisehisoptions,andthensellthestocksatthe$120positionimmediately.WhatistheprofitfromthisseriesoftradesmadebyTom?Assumenoextrafeessuchascommissions.
A) $500B) $5C) $1000D) $995
Correctanswer:A
Question229:CurrentstockpriceforIBMis$115/shareandcustomAbuyaoption$110with2.75forDecember10th.IfIBMstockpricedropsto$110/shareonthatday,howmuchwillcustomerAlose?
A) 11500B) 11000C) 775D) 275
Correctanswer:D
Question230:CurrentstockpriceforIBMis$115/shareandcustomAbuyanoption$110with2.75forDecember10th.IfIBMstockpricedropsto$110/shareonthatday,howmuchwillcustomerAlose?
A) 11500B) 11000C) 775D) 275
Correctanswer:D
Question231:Itisbesttoselectaportfolioalongtheefficientfrontierbecause:A) ItresultsinaportfoliowithnegligibleriskforagivenreturnB) ItresultsinaportfoliooptimizedformaximumreturnforagivenriskC) Itresultsinaportfoliothatisblendedandequallyweighsriskand
returnD) Itresultsinaportfoliothatisbuilttobefurtheroptimizedbya
learner
Correctanswer:B
Question232:WhichofthefollowingisNOTacomponentthatdefinesaMarkovDecisionProblem.
A) SetofActionsAB) ProbabilisticFunctionPC) TransitionFunctionTD) SetofStatesS
Correctanswer:B
Question233:WhichoftheseisNOTacorrectwayofrepresentingtheTransitionfunction(T)foraMarkovDecisionProblem(MDP)
A) T(s)B) T(s,𝝅)C) T(s,a)
Correctanswer:B
Question234:YouwriteacallforAPPLatastrikepriceof112dollarsandaLastvalueof1.55.Attheoption'sexpirythepriceofAPPLisvaluedat114.Assumingthattheoptionwasexercised,whatwasyourprofit/loss?
A) -45B) 45C) 200D) -200
Correctanswer:A
Question235:TheweakversionofEfficientMarketHypothesisprohibitsusfromprofitingfromfundamentalanalysisbecauseitsaysthatpricesadjustquicklytonewpublicinformationsuchascompany'squarterlyreports.
A) TrueB) FalseC) InsufficientinformationD) Dependsoncircumstances
Correctanswer:B
Question236:Supposeyouwanttoblend3stocksinyourportfolio.ABC,LMN,XYZarethestocks.ABChasa-0.9covariancewithLMN.LMNhasa+0.9covariancewithXYZ.Whatisthebestblendofthesestockstominimizeportfoliorisk?
A) ABC50%,LMN25%,XYZ25%B) ABC25%,LMN25%,XYX50%C) ABC33%,LMN33%,XYZ33%D) ABC10%,LMN10%,XYZ80%
Correctanswer:A
Question237:WhatarethetwocomponentstotheQfunctioninQ-learning?
A) immediaterewardanddiscountedrewardB) venturedpathandfrontierstatesC) transitionsTandrewardsRD) utilityfunctionandBollingerbands
Correctanswer:A
Question238:Iftheefficientmarketshypothesisistrue,thenstockprices______andreturnsare_______.
A) fluctuaterandomly,evenlydistributedB) fluctuaterandomly,normallydistributedC) donotfluctuate,evenlydistributedD) donotfluctuate,normallydistributed
Correctanswer:B
Question239:1)"AmazingBirds",apetbirdschainwhichprimarilysellsmacaws.2)"RoyalChickenBurgers",aburgerfoodmain,astheirnamesuggests99%oftheremenuhaveonchickenasitsmainingredients.3)"GetProteins"aBroilerchickenchain.arethreehypotheticalcompanies,thestockpriceofallthesecompaniesgoesdownafterthenewsofanoutbreakofAvianflualsoknownasBirdsfluacrosstheglobe,whatkindofinformationisthis?
A) EndogenousB) FundamentalC) InsiderD) Exogenous
Correctanswer:D
Question240:Anemployeeofacompanybuys500sharesofthecompanystockbeforeamajorproductannouncement.Thenthepriceofthestockgoesup.Whichoneofthefollowingassumptionsaretrue?
A) WeakefficientmarkethypothesishasprovedrightB) StrongefficientmarkethypothesishasprovedwrongC) StrongefficientmarkethypothesishasprovedrightD) BothAandB
Correctanswer:B
Question241:Whatiscreditdefaultswap?A) Acreditdefaultswapisafinancialswapagreementthatthesellerof
theCDSwillcompensatethebuyerintheeventofadebtdefaultB) Acreditdefaultswapisafinancialswapagreementthatthebuyerof
theCDSwillcompensatethesellerintheeventofadebtdefault
Correctanswer:A
Question242:WhichofthefollowingstatementsisFALSEwithrespecttotheEMH(EfficientMarketsHypothesis)?
A) Wecanprofitbybuildingaportfoliobasedoffofinsiderinformation.
B) Fundamentalanalysiswillnotaidinbuildingaprofitableportfolio.C) Analysisofhistoricalpricescannotleadtoprofit.D) Pricesadjustrapidlytonewpublicinformation.
Correctanswer:A
Question243:WhichofthefollowinganalyseswouldbecomeunsuccessfuliftheformofEMHswitchfromsemi-strongtostrong?
A) TechnicalB) FundamentalC) InsiderD) Noneoftheabove
Correctanswer:C
Question244:WhenconsideringaReinforcementLearningproblem,ALLofthefollowingTRUE,EXCEPT:
A) 'S'istheseriesofallpreviousstatesthatledtoourcurrentstateB) Ourpolicy,𝝅,takesinastate'S'andoutputsanaction'a'C) Action'a'istakenintheenvironmentandtheenvironmentthen
transitionstoanewstateD) Reward'r'fortakingacertainactionhelpsthelearnerarriveat
theoptimalpolicy
Correctanswer:A
Question245:AccordingtotheFundamentalLawofActivePortfolioManagement,iftheinformationcoefficientismeasuredat0.001,howmanytradesneedtobeexecutedinayearinordertoattain40%performance?
A) 160,000B) 40,000C) 4,000,000D) 1,600,000,000
Correctanswer:A
Question246:WhichofthefollowingisNOTtrueabouttheFundamentalLawofActivePortfolioManagement?
A) Todoubleperformanceatthesamelevelofskill,onemustfindfourtimesasmanyopportunitiestotrade.
B) Breadthisdefinedasthenumberofsharesheldinaportfoliooverthecourseofagivenyear.
C) Theinformationratiomeasuresone'sabilitytogenerateexcessreturnsrelativetoabenchmark.
D) Twowaystoincreasethebreadthofaportfolioaretoholdmoreassetsatonceortoturnthoseequitiesovermorefrequently.
Correctanswer:B
Question247:Whichofthefollowingisanexampleofamodel-freeapproachtoreinforcementlearning?
A) ValueiterationB) PolicyiterationC) Q-learningD) Linearregression
Correctanswer:C
Question248:Whichcomponentisnotinthereinforcementlearning?
A) RewardsB) ActionsC) VelocityD) States
Correctanswer:C
Question249:Whichoffollowingstatementisnottrueabouttheefficientfrontier?
A) Theefficientfrontierrepresentstheoptimalportfoliowithlowestriskgiventhetargetreturn
B) Thereisnopossibleportfoliothatcanneverexceedtheefficientfrontier(havebetterperformance)
C) Theriskmaybehighereventhoughthetargetreturnisreduced.D) Eachtangentlineofefficientfrontierrepresentsthemaximum
sharpratiogiventhetargetreturn
Correctanswer:D
Question250:Aswemovealongtheefficientfrontiertowardstheorigin,isitpossiblethatwegetlowerreturnbuthigherrisk?
A) YesB) No
Correctanswer:B
Question251:Wewantthevalueofoneparticularfuturerewardtobe5after3steps(i=3)insteadofitsimmediaterewardvalueof20attime=0.Whatshouldourdiscountratebe?A) 0.25B) 0.5C) -0.25D) (.25)^1/3
Correctanswer:B
Question252:ThegoalofanReinforcementLearningalgorithmistofindapolicythatmapsapolicystatetoanactionsuchthatthefuturesumoftherewardismaximized
A) ThisstatementistrueB) Thisstatementisfalse
Correctanswer:A
Question253:Infollowingitems,whichoneisNOTatechnicalanalysisindicator?
A) RelativeStrengthIndexB) MoneyFlowIndexC) ReturnonEquityD) PriceRateOfChange
Correctanswer:C
Question254:Whichoneoftheseisnotavalueusedtoevaluateaportfolio?
A) CumulativeReturnB) VolatilityC) AdjustedClosingPriceD) SharpeRatio
Correctanswer:C
Question255:Ifyouhavebuiltalearnerfortradingstocks.ToincreasetheInformationRatio,youwant:
A) AdjustyourInformationCoefficienttoanoptimalvalueB) DecreasethenumberoftradingopportunitiesC) ImprovethepredictionskillsofthelearnerD) Decreasethecorrelationbetweenforecastsandreturns
Correctanswer:C
Question256:WhatisCDO-square?
A) ACDOwithaleverageof2B) ACDObackedprimarilybythetranchesissuedbyotherCDOsC) Atypeofstructuredasset-backedsecurity(ABS)basedonS&P500D) ACDOthatearnsbyshortingotherCDOs
Correctanswer:B
Question257:Whichofthefollowingstatementsabouttechnicalanalysisisnottrue?
A) TechnicalanalysisismostusefulforshortertimeperiodsB) TechnicalanalysisIncludespricedataonlyC) TechnicalanalysisperformsbetterconsideringmultipleindicatorsD) Technicalanalysisisusefulindetectingdeviationofastockfrom
themarket
Correctanswer:B
Question258:WhichofthefollowingstatementaboutQ-Learningistrue?
A) Q-Learningusesmodelsofrewards,stateandactions.B) Q-Learningisguaranteedtoconvergetowardstheoptimal
solutions.C) Q-Learningisamodelfreeapproach.D) Q-Learningcanonlybeappliedtodomainswhereallstatesand
transitionsarefullydefined.
Correctanswer:C
Question259:IfPersonA'sInformationCoefficientis20timeshigherthanPersonB's,thenhowmuchhigherthanPersonAdoesPersonB'sBreadthoftheportfolioneedtobeinordertomatchPersonA'sinvestments?
A) 200timesB) 50timesC) 400timesD) 100times
Correctanswer:C
Question260:Whichoffollowingstatementistruewhenwecomparereinforcementlearningwithsupervisedlearning?
A) Inputisnotavailableinreinforcementlearningwhileitisavailableinsupervisedlearning
B) Outputisavailableinsupervisedlearningwhileitisnotavailableinreinforcementlearning
C) ExploitationorexplorationarepartofsupervisedlearningD) InReinforcementLearning,thegoalistolearnthegeneral
formulafromthegivenexamplesbyanalyzingthegiveninputsandoutputsofafunction
Correctanswer:B
Question261:WhatservesasfeedbackfromtheenvironmentinaRLproblem?A) actionB) rewardC) stateD) policy
Correctanswer:B
Question262:Whatdoes'shortingthebanks'mean?
A) lendinginanarea,suchasthehousingmarket,allwhileexpectingtheborrowerstodefaultontheirloans
B) AnothertermforReinforcementLearningC) lendinginanarea,suchasthehousingmarket,allwhileexpecting
theborrowerstopaytheirloansontimeD) Closingdownbanksthatdonotfollowgovernmentrules
Correctanswer:A
Question263:WhichofthefollowingstatementsabouttheefficientfrontierisNOTtrue?
A) Differentpointsontheefficientfrontierhavedifferentlevelsofriskandreturn.
B) Pointsontheefficientfrontieraretheportfolioallocationwiththelowestriskforagivenreturnvalue.
C) Pointsbelowtheefficientfrontierrepresentsuboptimalportfolioallocations.
D) Investorsshouldtargetportfoliosatorabovetheefficientfrontierbecausetheefficientfrontierrepresentsportfoliosthatprovidetheminimallyadequatereturnforagivenlevelofrisk.
Correctanswer:D
Question264:Ifthestandarddeviationofalphavaluesforaportfolioincreasesbyafactorof4(andthemeanalphaisunchanged),whatwillhappentotheinformationratio(IR)fortheportfolio?
A) Itwillincreaseby4timesB) Itwillincreaseby2timesC) Itwilldecreaseby4timesD) Itwilldecreaseby2times
Correctanswer:C
Question265:Whichoneis/areleastexpensiveenvironmentisusedinDyna?
A) RealenvironmentB) SimulatedenvironmentC) BothrealandsimulatedareequallyexpensiveD) Noneoftheabove
Correctanswer:B
Question266:WhichofthefollowingisNOTacharacteristicofanyversion(weak,semi-strong,strong)oftheEfficientMarketHypothesis?
A) Canmakemoneyoninsiderinformation,asitcanbeleveragedB) Futurepricescannotbepredictedbyanalysisofhistorical/past
pricesC) PublicreportscauseinstantaneouschangesinpriceD) Pricesadjustimmediatelytonewpublicinformation
Correctanswer:A
Question267:Whichofthefollowingbestdescribesthegivenorinitiallyknowninformationinageneralreinforcementlearningapproach?
A) AsetofinputslabeledwithoutputsB) AsetofinputswithoutlabelstooutputsC) Asetofallpossiblestatesandasetofpossibleactionsfromeach
stateD) Asetofallpossiblestates,asetofpossibleactionsfromeach
state,thetransitionfunction,andtherewardfunction
Correctanswer:C
Question268:WhichofthefollowingisalimitationoftheEfficientFrontier?
A) AssetreturnsdonotfollowanormaldistributionB) ItisnotpossibletobalancesecuritiesefficientlyC) ThedegreeofriskistoohighforthemarketD) Assetsdonotfollowaheavy-taileddistribution
Correctanswer:A
Question269:WhichoptionbelowisnotarightdescriptionofthedifferentformofEMH?
A) WeakEMHmeansfuturepricesCANNOTbepredictedbyhistorical(notechnical)
B) Semi-StrongEMHmeanspricesadjustslowly(nofundamentalandtechnical)
C) Semi-StrongEMHmeanspricesadjustrapidly(nofundamentalandtechnical)
D) StrongEMHmeanspricesreflectallinfo(publicandprivate)(noinsider,technical,orfundamental)
Correctanswer:B
Question270:WhatisincorrectaccordingtoEfficientMarketsHypothesis(EMH)?
A) TheweakformoftheEMHsuggeststhatfutureassetpricescannotbepredictedbasedonhistoricalpricedataalone.
B) TechnicalanalysiscanbeusedinweakformofEMHbecausesomemarketinefficienciescanbeexploited
C) Thesemi-strongformoftheEMHsuggeststhatfundamentalandtechnicalanalysisareoflittleusebecauseopportunitieshavebeenarbitragedawayimmediately.
D) ThestrongformoftheEMHsuggeststhatnoknownarbitrageopportunitiesexist.
Correctanswer:B
Question271:StockforJPMis:$200on2010-10-01$400on2010-10-02$400on2010-10-03$100on2010-10-04$700on2010-10-05Calculatethesimplemovingaverageforthestockon2010-10-04withalookbackwindowof3days.Also,assumingthepriceat2010-10-04isalargeenoughexcursionfromtheSMA,wouldyouconsiderthisabuyorsellopportunity?A) -2/3buyB) -2/3sellC) 1/3sellD) 1/3buy
Correctanswer:A
Question272:WheredidMichaelBurrywork?
A) ScionCapitalB) GoldmanSachsC) MorganStanleyD) MerrillLynch
Correctanswer:A
Question273:Whichcomponentsarerequiredtobuildanexperiencetupletobeusedtofindthepolicyinreinforcementlearning?
Correctanswer:A
Question274:SelecttheversionofEMHforwhichthefollowingstatementholdstrue:"Futureassetpricescannotbepredictedusinghistoricalpriceandvolumedata."
A) Semi-strongformB) WeakformC) StrongformD) Noneoftheabove
Correctanswer:B
Question275:Ifastock'spricewas$50.0010daysagoandis$45.00now,whatisthevalueofthe10-daymomentumforthisstock?
A) 0.9B) -0.1C) 1.1D) 0.1
Correctanswer:B
Question276:Giventwotradestrategieswiththesameexpectedreturn(reward),tradestrategyAinvolvesasingletradewithaSharpeRatioof0.15,whiletradestrategyBinvolves144tradesoveraone-yearperiod.WhatistheSharpeRatiooftradestrategyB?
A) 55.8B) 1.8C) 0.06D) 2.87
Correctanswer:B
Question277:WhichofthefollowingstatementisfalseonTheFundamentalLaw?
A) InformationRatio(IR)isameasureofmanager'sperformanceB) InformationCoefficient(IC)iscorrelationbetweenmanager's
predictionofthemarketandactualmarket.C) Breadth(BR)isthenumberoftradingopportunityperdayD) IR=IC*sqrt(BR)
Correctanswer:C
Question278:Thesubprimelendingindustry...
A) attractedsleazypeopleB) wasfragmentedC) wasafast-buckbusinessD) alloftheabove
Correctanswer:D
Question279:Ifyouare1/100assmartasWarrenBuffet,andhetrades100timesperyear,howmanytimesdoyouneedtotradeperyearinordertogetthesameriskadjustedreward?
A) 100B) 100^2C) 100^3D) 100^4
Correctanswer:C
Question280:InvestorAhasanInformationCoefficientof.25andaBreadthof144InvestorBaverages3%returnabovethemarketandthestandarddeviationoftheseexcessreturnsis1%Selectthecorrectstatementcomparingtheinformationratioofthetwoinvestors.
A) IRofinvestorA>IRofinvestorBB) IRofinvestorA<IRofinvestorBC) IRofinvestorA=IRofinvestorBD) Notenoughinformation
Correctanswer:C
Question281:GiventhefollowingclosingpricesforAAPL,whatwastheSMA(simplemovingaverage)forthepreviousfivedaysonNov7?Date ClosingPriceOct29 $5Oct30 $6Oct31 $4Nov1$5Nov2$8Nov5$7Nov6$8Nov7$10Nov8 $11Nov9 $9A) 7.6B) 6C) 6.4D) 9
Correctanswer:C
Question282:JasonboughtanEuropeancalloptionwithexercisepriceof100dollarsforstockA,whenitexpiresthestockpriceis80dollars.
A) Jasoncanmakeprofitbyshortingthestockat100dollarsB) Jasonwilllosemoneyby20dollarpershareC) JasonwillnotloseormakemoneyD) Jasoncancutthelossbyresellingtheoption
Correctanswer:C
Question283:Whatisthewrongstatementaboutthefundamentallaw?
A) HigherexpectedreturngeneratesahighersharperatioB) MoreexecutionopportunitiesprovidesahighersharperatioC) SharperatiogrowsasthesquareofbreadthD) Informationratioisasharperatioofexcessreturn
Correctanswer:C
Question284:WhichIterationmethodinreinforcementlearningstartswithrandompolicy?
A) PolicyIterationB) ValueIterationC) Q-learningD) Botha&b
Correctanswer:A
Question285:ThefilmTheBigShortcoversthefinancialcrisisof2007-2008causedbydefaultsonmortgagebackeddebtsecurities.Whatisthehighestcreditratinggiventodebtsecurities?
A) High-gradeB) AAAC) AA+D) Investment-grade
Correctanswer:B
Question286:WhichofthefollowingstatementsbestdescribesaCDO(CollateralizedDebtObligation)
A) Astructuredfinancialproductthatpoolstogetherassetssuchasloansormortgages,andrepackagesthisassetpoolintosecuritiesthatcanbesoldtoinvestors.
B) Inarestaurant,CDOsisaSeafoodstewthatispreparedusingunsoldoldfish
C) CDOsaremortgagebondsthatareatariskofdefault.D) CDOsareswapsareinsurancepoliciesagainstnonpaymentor
debtdefaults.Thebuyerofsuchswapswillbeentitledtosettlementpaymentspecifiedinthecontractshouldtheissuerdefaultonpayments.
Correctanswer:AQuestion287:WhichofthefollowingisNOTtrueaboutreinforcement
learning:
A) Itisconcernedwithgoal-directedlearninganddecision-makingB) Itlearnsfromexperiencebyinteractingwiththeenvironmentbut
notaffectingitC) Itcantradeoffsuboptimalneartermrewardstomaximizealong
termgoalD) Anagentinteractswithenvironmentusingstates,actionsand
rewards
Correctanswer:B
Question288:WhatformoftheEMHsaysfuturepricescannotbepredictedbyanalyzinghistoricalprices?
A) WeakB) Semi-strongC) StrongD) Noneoftheabove
Correctanswer:A
Question289:Whichofthefollowingoptionoperationshasanunlimitedpotentialloss?
A) BUYCALLB) BUYPUTC) WRITECALLD) WRITEPUT
Correctanswer:C
Question290:Whichofthefollowingstatementsaboutthefundamentallawistrue?
A) ICmeasurestheskillofthePortfolioManagerB) IRisthesameasSharpeRatioC) BreadthisirrelevantinaBuyandHoldtradingstrategyD) IRmeasurestheskillofthePortfolioManager
Correctanswer:D
Question291:Accordingtothemovie,“TheBigShort”,andMichaelBurry,whatwouldtriggerthecollapseofthehousingmarket:A) TheriseinvariableinterestratesB) SlowedgrowthinthemortgagebondsectorC) PeoplestartedshortingthehousingmarketD) Worldeconomictensions
Correctanswer:A
Question292:WhichofthefollowingisnotanRLalgorithmwecanusetofindagoodpolicywhenmappingtradingtoReinforcementLearning?
A) QLearningB) ValueIterationC) PolicyIterationD) StockIteration
Correctanswer:D
Question293:Whichexpressionisthepseudocodeformomentum?
A) price[t-n]–price[t]B) (price[t]/price[t-n])–1C) (price[t]/price[t-n:t].mean())–1D) price[n:t].mean–price[t]
Correctanswer:B
Question294:Whichofthefollowingstatementsisfalse?
A) Model-basedreinforcementlearningdevelopsapolicybylookingatthedata.
B) Model-basedreinforcementlearningcanusevalueorpolicyiterationtobuildapolicy.
C) Q-learningismodel-freereinforcementlearning.D) Transitionmodelsandrewardmodelsareusedtobuildapolicyin
model-basedreinforcementlearning.
Correctanswer:A
Question295:Whichstatementbestdescribesamortgagebond?
A) SinglebigloanforaspecificperiodoftimeB) CashcollectedfromapoolofmanyindividualhomemortgagesC) Similartoold-fashionedgovernmentbonds
Correctanswer:B
Question296:AccordingtotheNobleScientistHarryMarkowitz,whoisbestknownforhispioneeringworkinModernPortfolioTheory,whichofthefollowingistrue:(Pleaseselectonebestanswer):
A) BondsarealwayslowestriskassetsB) StocksarealwayslowestriskassetsC) BlendofStocksandBondscouldbelowestriskassetsthaneither
oneofthemindividuallyD) ModernPortfolioTheoryshowsEfficientFrontieronlyforStocks
asBondsareconsideredriskfree
Correctanswer:C
Question297:WhichoftheseinvestmentfactorswasRichardGrinoldNOTtryingtorelatetooneanotherwiththeFundamentalLaw?
A) BreadthB) SkillC) SPYPricesD) Performance
Correctanswer:C
Question298:Whyweren'tJamieandCharliefromCornwallCapitalinitiallyabletomakelargebetsagainstcreditdefaultswaps?
A) Theydidn'thaveanISDA(InternationalSwapsandDerivativesAssociation)masteragreement.
B) TheirofficeswerelocatedoutsideofNewYorkstate.C) TheirportfoliowasconsideredsmallbythelargeWallStreet
banks.D) BothAandC.
Correctanswer:D
Question299:WhydoMichaelBurry'sclientsgetupsetwithhim?
A) BurryboughtseveralstockshisclientsdisagreedwithB) BurrycommittedfraudandstolehisclientsmoneyC) BurryshortsthehousingmarketD) BurryinvestsintheCDOmarketthatcontributestotheinstability
ofthehousingmarket
Correctanswer:C
Question300:Theefficientfrontieris:
A) thesetofoptimalportfoliosthatoffersthehighestexpectedreturnforadefinedlevelofriskorthelowestriskforagivenlevelofexpectedreturn
B) thesetofportfoliosthatwouldguaranteeano-lossbetonthemarket
C) howaportfoliocomprisinga60/40mixofequitiesandbondswouldperformatvariousrisk-freerateofreturnassumptions
D) thesetofportfoliosthatsatisfyarationalinvestor'spreferenceforasafeandrisk-adverseinvestment
Correctanswer:A
Question301:WhichofthefollowingmaybeanargumentagainsttheEfficientMarketHypothesis?A) Lookingatpatternsortrendsinthestockmarketcanprovide
inaccuratesignalstobuy/sellastockB) Astock'svaluecanbeassesseddifferentlybydifferentinvestorsand
astock'spricetypicallytakestimetorespondtothemarketC) Lookingforsituationsinwhichthestock'spriceislowerthanusualto
buycouldbedisadvantageousD) Theindicatorsusedcangreatlyvarytheresultsofourapproachto
buy/sellstocks
Correctanswer:B
Question302:Theefficientfrontieris:
A) thesetofoptimalportfoliosthatoffersthehighestexpectedreturnforadefinedlevelofriskorthelowestriskforagivenlevelofexpectedreturn
B) thesetofportfoliosthatwouldguaranteeano-lossbetonthemarket
C) howaportfoliocomprisinga60/40mixofequitiesandbondswouldperformatvariousrisk-freerateofreturnassumptions
D) thesetofportfoliosthatsatisfyarationalinvestor'spreferenceforasafeandrisk-adverseinvestment
Correctanswer:A
Question303:WhichofthefollowingassumptionsregardingEfficientMarketsHypothesisisFALSE?
A) LargenumberofinvestorsB) NewInformationarrivesrandomlyC) PricesadjustslowlyD) Noneoftheabove
Correctanswer:C
Question304:AandBaretwofriendswhohavethesameInformationRatio.Bhasanalgorithmthatis5000timesbetterthanthatofA,andBtrades100timesayear.HowmanytimesdoesAtradeinayear?
A) 250000000B) 5000000000C) 2500000000D) 500000000
Correctanswer:C
Question305:WhichequationiscorrectaccordingtoGrinold’sFundamentalLaw?
A) InformationRatio=SharpeRatioB) InformationRatio=InformationCoefficient*sqrt(Breadth)C) InformationRatio=InformationCoefficient*sqr(Breadth)D) InformationRatio=InformationCoefficient*Breadth
Correctanswer:B
Question306:Asexplainedinthemovie'TheBigShort',____areinvestmentsthatarerepackagedbysmallregionalbanksasameansoffundingmortgagesbyresellingthemassecuritiesthroughinvestmentmarkets.Fillintheblankfromanoptionbelow:
A) Collateralizeddebtobligations(CDOs)B) Mortgage-backedsecurities(MBS)C) Credit-defaultswapsD) HedgeFund
Correctanswer:B
Question307:Thereare2portfoliomanagers:AandB.Bmakes4timesthenumberoftradesthanthatofAinanyear.IfBhasacorrelationofgreaterthan0.5withtheactualreturnsthenwhatshouldA'scorrelationwithactualreturnsbeinordertooutperformB
A) 1B) 0.5C) 0.9D) AcannotoutperformB
Correctanswer:D
Question308:Stockoptionsaresoldfromonepartytoanother,giventheoptionbuyer____tobuyorsellastockatapre-agreedpricewithinacertainperiodoftime.
A) therightandtheobligationB) therightbutnottheobligationC) nottherightbuttheobligationD) neithertherightnortheobligation
Correctanswer:B
Question309:Thepointatwhichthetangentlinefromoriginhitstheefficientfrontiergivesus____________
A) MaxCumulativeReturnB) MaxSharpeRatioC) MaxAverageDailyreturnD) Riskfreereturn
Correctanswer:B
Question310:TheInformationRatio(IR)isthesamecalculationas_____,butonlyonthe"skill"portionofthereturn.(Fillintheblank)
A) BollingerRatioB) SharpeRatioC) StandardDeviationD) InformationCoefficient
Correctanswer:B
Question311:WhichofthefollowingistrueaccordingtoTheBigShortmovie?A) MarkBaumshortedtheCollateralizedDebtObligationbyborrowing
MortgageBakedSecuritiestoDeutscheBankviaJaredVennet,sellingthemearlyathighprice,buyingthembackafterthemarketcollapsed,andthenreturnedthemtothecounterpartieswithsomeinterests.
B) CharlieGellerandJamieShipleymademoneybybuyingCreditDefaultSwap,practicallyaninsuranceforCollateralizedDebtObligationtheydidnothave.
C) BenRickertmademoremoneythanMichaelBurry,becauseunlikeScionCapital,BrownfieldFundputabetagainstAA'switha200to1payoff.
D) Subprimeadjustablerateloanswerenotascompellingasprimefixrateloanstotheinvestmentbankbecauseprimeloanswerethesafestmortgagesissuedtotheleastriskyborrowerswhilesubprimeloansweretheexactopposite.
Correctanswer:B
Question312:AccordingtotheQfunction,whichstatementsaretrueregardingtheLearningRate,Alpha,andtheDiscountRate,Gamma?
A) TheexpectedvalueoftheLearningRate,Alphais2.0.B) Forvaluinglaterrewardsverysignificantly,weexpectahighvalue
oftheDiscountRate,Gamma.C) Forvaluinglaterrewardsnotsignificantly,weexpectahighvalue
oftheDiscountRate,Gamma.D) TheexpectedvalueoftheDiscountRate,Gammais<0.0.
Correctanswer:B
Question313:WhichofthefollowingisNOToneoftheassumptionsEMHmakes?
A) PricesadjustquicklytonewinformationB) PricesreflectallavailableinformationC) NewinformationarrivesinapredictablewayD) Thereisalargenumberofinvestors
Correctanswer:C
Question314:TheEMHhasthreeforms.Theweakestoneestablishesthatthelevelofinformationbarelyaffectsprices.Whatistrueaboutfuturepricesgiventheabove?
A) Futurepricescannotbepredictedbecauseunpredictableexternaleventsmayinfluencetheprices.
B) Futurepricescanbepredictedbecausehistoricalpricesareusedasanindicator.
C) Futurepricesmaybepossibletopredictbasedoninformationofprice,volumeandexogenousinformation.
D) Futurepricescanbepredicted,howevernotbasedonfundamentals.
Correctanswer:A
Question315:WhichofthefollowingisanassumptionusedintheEfficientMarketHypothesis?
A) pricesadjustquicklyB) numberofinvestorsissmallC) informationcomesfromcompanyinsidersD) newinformationarrivesatregularintervals
Correctanswer:A
Question316:Whichofthefollowingform(s)ofEMHprohibitprofitingfromTechnicalAnalysis?
A) WeakEMHB) Semi-strongEMHC) StrongEMHD) All
Correctanswer:D
Question317:WhichofthefollowingstatementsisNOTanassumptionoftheEfficientMarketHypothesis?
A) Therearealargenumberofinvestorsinthemarket.B) Newinformationarrivesrandomly.C) Pricesadjustslowly.D) Pricesreflectallavailableinformation.
Correctanswer:C
Question318:Whichstrategyexposeriskofunlimitedlose(ifexecutedalone)?
A) BuyCallB) WriteCallC) BuyPutD) WritePut
Correctanswer:B
Question319:WhichofthefollowingcanbeanoptionalelementofaReinforcementLearningSystem?
A) AgentB) EnvironmentC) RewardSignalD) Model
Correctanswer:D
Question320:Ifstockpricehasgoneupfrom99.9to100.1fromyesterdaytotoday.Whatkindofpricemovementisexpectedforcalloptionofstrikeprice100withsameexpirationdate?
A) CalloptionpricetodayishigherthanyesterdayB) CalloptionpricetodayislowerthanyesterdayC) CalloptionpricetodayissameasyesterdayD) It'shardtosay
Correctanswer:D
Question321:Whataretheadvantagesofbuyingsimpleoptionsoverstocks?A) Cannotlosemorethenthepremiumpaidup-front.B) ExpirationsDatesandOwnershipofthestock.C) Leverage.D) BothA)andC)
Correctanswer:D
Question322:WhichofthefollowingisFALSEregardinglearningrate"alpha"inQ-learning?
A) Alowvalueofalphameansthatintheupdaterule,thepreviousvalueforQ[s,a]ismorestronglypreserved.
B) Learningbecomesmorequicklyasalphaincreases.C) Inafullydeterministicenvironment,wecanconsiderusing
constantlearningratealpha=1.D) Inastochasticenvironment,wecanconsiderusingconstant
learningratealpha=0.
Correctanswer:D
Question323:IftheweakformoftheEfficientMarketHypothesisistrue,whichofthefollowingisright?
A) Markethistoryofastockcanbeusedtopredictthestock’sfutureprice
B) ItprohibitstechnicalandfundamentalanalysisC) Theweakversionismorelikelytoapplytothelargest,most
transparentandliquidmarketsD) Insidertradingwillworkfortheweakform
Correctanswer:D
Question324:InReinforcementLearning,whichofthefollowingparametercaneitherbeaSTATEoraREWARD?
A) BollingerValueB) ReturnfromTradeC) DailyReturnsD) HoldingLong
Correctanswer:C
Question325:TheGrinold(1989)“FundamentalLawofActiveManagement”assertsthatthemaximumattainable.Selectallwhicharecorrect
A) InformationRatioisapproximatelytheproductoftheRiskCoefficienttimesthesquarerootofthebreadthofthestrategy
B) InformationRatioisdirectlyproportionaltoInformationCoefficient
C) InformationRatioisinverselyproportionaltobreadthofthestrategy
D) InformationRatioisinverselyproportionaltoriskcoefficient
Correctanswer:B
Question326:Themoviedescribedasyntheticcollaterlizeddebtobligation(syntheticCDO)asavehicleallowing$50millioninsubprimeloansto...
A) becomeperceivedasahigherriskinvestmentduetothehothandfallacy
B) becomeinflatedthroughsidebetstoaround$1billionC) beshorted,allowingtheinvestortobetthemortgagepricewill
decreaseinthefuture.D) Noneoftheabove
Correctanswer:B
Question327:AssumewehavethereturnvsriskgraphofEfficientFrontier,withOptimalCAL(CapitalAllocationLine,alinefromtheorigintothetangenttothefrontier)lineaddedin.Whichofthefollowingistrue?
A) ThepointwhereOptimalCALlinehitstheEfficientFrontierrepresentstheminimumriskportfoliofortheassets.
B) TheEfficientFrontiercurveshowsthat,aswelowerthereturn,theriskwillalwaysgodown.
C) ThepointwhereOptimalCALlinehitstheEfficientFrontierrepresentsthemaximumSharperatioportfoliofortheassets.
D) TheEfficientFrontiercurveonlyrepresentslowestreturnforeachoftherisks.
Correctanswer:C
Question328:Whichamongtheseis/areinconsistentwiththethreeformsofEfficientMarketHypothesis?
A) Portfoliosofstockswithlowprice-earnings(P/E)multipleshavetendedtoprovidehigherreturnsthanportfoliosofstockswithhighP/Eratios.
B) Professionalmoneymanagersdonottypicallyearnhigherreturnsthancomparablepassiveindexstrategies.
C) Marketpricesreflectallpubliclyavailableinformationconcerningpasttradinghistoryaswellasfundamentalaspectsofthefirm.
D) Mosttestsoftechnicalanalysisfindthatitisdifficulttoidentifypricetrendsthatcanbeexploitedtoearnsuperiorrisk-adjustedinvestmentreturns.
Correctanswer:AQuestion329:Considerthefollowingtwostatements:a.Q-learningisa
model-freemethod.b.InQ-learning,tofindthemaximumreward,afixedhorizonisused.Statewhetherthesearetrueorfalse.Thefirstandsecondtruthvaluesintheanswersbelowcorrespondtostatementaandbrespectively.
A) True,TrueB) True,FalseC) False,TrueD) False,False
Correctanswer:B
Question330:WhatmathematicalequationbestdescribesGrinold'sFundamentalLaw?
A) performance=skill*sqrt(breadth)B) performance=skill+breadthC) performance=skill/(breadth^2)D) performance=skill/sqrt(breadth)
Correctanswer:A
Question331:Thefundamentallawisrepresentedas-A) IR=IC*SQRT(BR)B) IR=IC*BRC) IR=IC*BR^2D) IR=IC*BR*SQRT(120)
Correctanswer:A
Question332:Inordertoensurethatassetsvalueincreasesinlow-riskportfolio,assetsshouldbeA:anti-correlatedinshorttermB:positivelycorrelatedinlongterm.
A) AB) BC) BothAandBD) Noneoftheabove
Correctanswer:C
Question333:Thefundamentallawisrepresentedas-
A) IR=IC*SQRT(BR)B) IR=IC*BRC) IR=IC*BR^2D) IR=IC*BR*SQRT(120)
Correctanswer:A
Question334:Whatisthemainadvantageofamodel-freeapproachlikeQ-Learning?
A) Q-Learningdoesnotrequirelook-aheadorcarefulweightingB) Q-Learningcaneasilybeappliedtodomainswhereallstates
and/ortransitionsarenotfullydefinedC) Q-Learningimplementationsaregenerallyfasterthanmodel-
basesapproachesD) Q-Learningisthebestwaytoavoidoverfitting
Correctanswer:B
Question335:Thefundamentallawisrepresentedas-
A) IR=IC*SQRT(BR)B) IR=IC*BRC) IR=IC*BR^2D) IR=IC*BR*SQRT(120)
Correctanswer:A
Question336:IntheQ-Learningalgorithmassumeweareintheseconditerationwithanexperiencetuple.ListdownthecorrectsequenceofthebelowgivenstepstobefollowedtomakesurewecorrectlyupdateourQtable1InformationwejustlearnedistakentoimproveQ2Observerewardands'3Statesiscomputed4Qtableissetwithsmallrandomnumbersandthetimeisinitialized5Weconsultourpolicy,orinotherwordsweconsultQtofindthebestactioninthecurrentstate
A) 45321B) 34512C) 43521D) 35421
Correctanswer:C
Question337:Acalloptionwitha$60strikepriceexpiresintwomonthsandsellsfor$3.Iftheunderlyingstockispricedat$65atexpiration,youwillgeta()
A) $3lossB) $5profitC) $3profitD) $2profit
Correctanswer:D
Question338:InQ-Learning,Q[s,a]=?
A) Behaviourreward+discountedrewardB) Futurereward+immediaterewardC) Immediatereward+discountedrewardD) Futurereward+behaviourreward
Correctanswer:C
Question339:PortfolioOptimizationandtheEfficientFrontierQuestion:Standarddeviationofdailyreturnsisusuallyusedasameasureofrisk.Amongtheoptionsbelow,whichonewouldbethebestalternativewaytomeasurerisk?
A) CumulativereturnB) MomentumC) AlphaD) Beta-orsomethingelselikeSortinoRatio
Correctanswer:D
Question340:WhydidMichaelBurryclosehisfundafterobtainingbigreturns?
A) HecashedinandretiredwithhiswifeB) HebroughtalawsuitagainsttheratingagenciesforfraudC) HewasbummedbyongoinglitigationandauditsD) Hemovedtoinvestingingoldandoilcompanies
Correctanswer:C
Question341:WhatisonemajordifferencebetweenUSstylestockoptionsandEuropeanstylestockoptions?A) USstylestockoptionsrequireyoutoexercisetheoptiononthe
expirationdate,whereasEuropeanallowyoutoexercisetheoptionpriortotheexpirationdate.
B) Europeanoptionsdonotcallitastrikeprice.C) USstylestockoptionsallowyoutoexercisetheoptionuptoand
includingtheexpirationdate,whereasEuropeanoptionsonlyallowyoutoexercisetheoptionontheexpirationdate.
D) Noneoftheabove.
Correctanswer:C
Question342:WhatisthedifferenceinvalueiterationandpolicyiterationmethodsinReinforcementLearning?
A) ValueIteration:Ateachiterationofevaluationofallstatesofyourenvironment,youincrementthevalueofastatedependingonvaluesofneighbourstates,youdothisuntilallyourenvironmentiscovered
B) PolicyIteration:Ateachiterationofevaluationofallstatesofyourenvironment,youincrementthevalueofastatedependingonvaluesofneighbourstates,youdothisuntilallyourenvironmentiscovered
C) ValueIteration:Evaluatetheactionofyourprocessateachiteration,sothatyouimproveyourcontrollaworpolicy.hereyouneedamodel:adiscreteMarkovprocess.
D) botharesimilarmethods
Correctanswer:A
Question343:Supposedthatyouareahedgefundmanagerandyourfundperformsreallywell.YourfundproducessimilarreturnsasWarrenBuffet’s(TheInformationRatioisthesame),butthestrategyyouuseisverydifferentfromWarrenBuffet.WarrenBuffetholdsonly100stocksfortheentireyear,whileyourunamachinelearningalgorithmtotradestocksatarateof10000times/perday.WhichofthefollowingequationscanillustratetherelationshipbetweentheskillofyourmachinelearningstrategyandtheskillofWarrenBuffet?
A) Skill(Yourstrategy)=(100^0.5/(10000*252)^0.5)*Skill(WarrenBuffet)
B) Skill(Yourstrategy)=(100/(10000*252))*Skill(WarrenBuffet)C) Skill(Yourstrategy)=(100/(10000))*Skill(WarrenBuffet)D) Skill(Yourstrategy)=(100^0.5/(10000*365)^0.5)*Skill(Your
Strategy)
Correctanswer:A
Question344:Whichoneofthestatementsbelowiscorrectconsideringmovingaverage?
A) Amovingaveragehelpsremovedailyfluctuationfromanalysis.B) Theshorterthetimeperiodunderconsideration,theeasieritisto
predictlong-termtrends.C) Thelongerthetimeperiodunderconsideration,themore
sensitivethemovingaverageistowardsdailyvolatility.D) Amovingaverageisalwayscomputedusingthesamearithmetic
model.
Correctanswer:A
Question345:Technicalanalysislooksatwhatkindofinformation?1.Volume2.Cumulativereturn3.Stockprice4.Sharperatio
A) 1and2B) 1and3C) 2and3D) 2and4
Correctanswer:B
Question346:FromTheBigShort,whatisthehothandfallacy?
A) Studyingthehousingmarketbygoingtohousesisthebestinsight.
B) Onlywhenbankstookshortpositionsasthehousingmarketcollapsedwouldthosepositionsbevaluedcorrectly.
C) Whenbankscouldn'tsellbadbonds,theygroupedthemintoCDOswhichbecameAAArateddiversifiedinvestments
D) Thesuccessofthehousingmarketindicatedfuturesuccessofthemarket.
Correctanswer:D
Question347:Whichofthefollowingstatementistrue?Thereinforcementlearningcanbemappedtotradingasfollows:
A) S:thestatesofthemarket,A:thebuy,sell,donothingactions,T:thetradescompleted,R:themoneymadeattheendofthetrade
B) S:thefeaturesandindicatorsofthestocks,A:thebuy,sell,donothingactions,T:themarket,R:themoneymadeattheendofthetrade
C) S:theavailablestatesoftherobot,A:theassetscurrentlyinportfolio,T:thetransitionfunctionsusedtodeterminebuyandsellactions,R:therobotusedtomakedecisions
D) Thereinforcementlearningcannotbemappedtotrading.
Correctanswer:B
Question348:WhichofthefollowingisNOTpartofFundamentalAnalysis?
A) DividendsB) CompanyEarningsC) CompanyDebtD) TradingVolumne
Correctanswer:D
Question349:WhichofthefollowingisacorrectwaytodesrcibetheTransitionfunctionT[s,a,s']inMarkovDecisionProblems(MDP)?
A) probabilitythatweareinstates'andwetakeactiona,wegetnewstates
B) probabilitythatweareinstateaandwetakeactions,wegetnewstates'
C) probabilitythatweareinstatesandwetakeactions',wegetnewstatea
D) probabilitythatweareinstatesandwetakeactiona,wegetnewstates'
Correctanswer:D
Question350:ReinforceLearning:Whichisbelowwaytofindpolicydoesn'tbelongtosamegroup?a.Buildmodeloftransitionfunctionwithparameterstate,actionandnextstate.b.Buildmodelofrewardfunctionwithparameterstateandaction.c.Buildmodelofiterationallstateandactiontofindaverage.d.Q-learningwithoutmodel
A) Buildmodeloftransitionfunctionwithparameterstate,actionandnextstate.
B) Buildmodelofrewardfunctionwithparameterstateandaction.C) Buildmodelofiterationallstateandactiontofindaverage.D) Q-learningwithoutmodel
Correctanswer:D
Question351:IfIhaveinsiderinformationthatIamabletousetomakeaprofitoffthroughtrading,whichform(s)oftheEfficientMarketsHypothesis(EMH)couldapply?A) WeakformB) Semi-strongformC) StrongformD) AandB
Correctanswer:D
Question352:WhatisthemaindifferencebetweenUSandEuropeanstylestockoptions?
A) UnderUSstyle,youcan’tchoosetoexerciseyouroptionpriortoexpirationdate,butitisconvenientforEUstyle
B) UnderEUstyle,youcan’tchoosetoexerciseyouroptionpriortoexpirationdate,butitisconvenientforUSstyle
C) USstyleoptiondoesnothaveasetstrikeprice,butEUoptionshave
D) Thereisnodifference
Correctanswer:B
Question353:Baseonthefilmandtherealworld,thecrushofwhichtypeoftheproductinthefollowingwouldgivethemostimpacttothemarket?
A) MBS,MortgageBackedSecuritiesB) CDS,CreditDefaultSwapC) CDO,CollateralizedDebtObligationsD) CDO^2,theCDOfromCDO
Correctanswer:D
Question354:Baseonthefilmandtherealworld,thecrushofwhichtypeoftheproductinthefollowingwouldgivethemostimpacttothemarket?
A) MBS,MortgageBackedSecuritiesB) CDS,CreditDefaultSwapC) CDO,CollateralizedDebtObligationsD) CDO^2,theCDOfromCDO
Correctanswer:D
Question355:WhichofthefollowingbestdescribesthefactorstakenintoaccountinTechnicalAnalysis?
A) TechnicalAnalysislooksonlyatHistoricalPriceofthestockB) TechnicalAnalysislooksonlyatHistoricalPriceandVolumeofthe
stockC) TechnicalAnalysislooksatBookValue,CashFlowandDividendsof
thestockD) TechnicalAnalysislooksonlyatVolumeofthestock
Correctanswer:B
Question356:Whatisanexampleofexogenousdataforanairlinestock?
A) ThepriceofoilB) Thecompany'sstockpriceC) Thecompany'squarterlyreportsD) PrivateinformationknownonlytotheCEO
Correctanswer:A
Question357:MeanVarianceOptimization(MVO)usesasetofinputstoreturnasetofassetweightsthatminimizerisk.WhichofthefollowinginputsisNOTusedinthecalculationofMVO?
A) ExpectedReturnB) VolatilityC) SharpeRatioD) Alloftheaboveareusedasinputs
Correctanswer:C
Question358:AccordingtoBlack-ScholesOptionPricingModel,whichoneofthefollowingassumptionsisn'ttrue?
A) Notaxeswouldbeapplied.B) Sharesareinfinitelydivisible.C) Nodividendsarespared.D) Transactionscostswouldbeapplied.
Correctanswer:D
Question359:Whatisrisk?
A) StandarddeviationofhistoricaldailyreturnsB) averagedailyreturnsC) covarianceofdailyreturnsD) meanvarianceoptimization
Correctanswer:A
Question360:Howarethestockreturnsfortwoindependent(non-overlapping)timeperiodsrelatedinanefficientmarket:
A) NocorrelationB) NegativecorrelationC) PositivecorrelationD) Cannotbedetermined
Correctanswer:A
Question361:WhatwasBurry'smoveafterhepredictedthehousingmarketbubble?A) Hecontactedthegovernmenttowarnthemagainstthecoming
collapseofthemarketB) Hecontactedmultiplebankstoconvincethemthatthebondswillfail
andtocreateacreditdefaultswapmarketC) HecontactedVennettandBaumtoconvincethemtojoinforceswith
himtoprofitoffofthemarketcollapseD) HecontactedhismomtolethersellherhouseinMiamibeforethe
pricescrash
Correctanswer:B
Question362:Accordingtoepsilongreedystrategy,whenshouldwesethigherepsilonratesduringthetrainingphase?
A) BeginningofthetrainingB) WhenthetrainingstartstoconvergeC) Whenthetraininghasn'tconvergedD) Attheendofthetraining
Correctanswer:A
Question363:Accordingtothefundamentallaw,whichwaycanamanagerorfundimprovetheirperformance?
A) IncreasethenumberoftradingopportunitiesperyearB) DecreaseskillatmakingpredictionC) DecreasebreadthD) Increasetimeoftrading
Correctanswer:A
Question364:Whenwritingacalloption,howcanyouhedgeagainstinfinitemaximumlosses?
A) OwntheunderlyingassetB) BuyacalloptiononthesameassetC) AandBD) Noneoftheabove
Correctanswer:C
Question365:Whichofthefollowingisamodel-freelearning?
A) RandomforestB) KNNC) Q-learningD) LinearRegression
Correctanswer:C
Question366:TheRelativeStrengthIndexisaleadingindicator.
A) TrueB) FalseC) RelativeStrengthIndexisnotanindicatorD) Noneoftheabove
Correctanswer:A
Question367:WhichofthefollowingstatementaboutoptionsisNOTcorrect?
A) Youwillnotlosemorethanthepremiumyoupaidfortheoption,nomatterhowfaritmovesagainstyou.
B) Optionsdonothaveexpirationdate.C) Withoptions,youdonotownthestock.D) Whenyoubuyoptions,youpaythepremiumimmediatelyto
anotherpersonwhenyouacquiretheoptioncontract.
Correctanswer:B
Question368:Davidisastocktradingexpertandhecanprofitsignificantlywithonly100tradesperyear.Sherrydevelopedahighfrequencytradingalgorithm,andheralgorithmis1/10000assmartasDavid’stradingstrategy.ForSherry,inordertoachieveonehalfofDavid’sInformationRatio,howmanytradesmustsheperformedeachyear?
A) 100,000B) 50,000C) 10,000,000,000D) 2,500,000,000
Correctanswer:D
Question369:WhatdoesalpharepresentintheQlearningupdateformula?Q'[s,a]=(1-α)·Q[s,a]+α·(r+γ·Q[s',argmaxa'(Q[s',a'])])
A) alphaisthelearningrateusedtovarytheweightgiventooldexperiencescomparedwithpastQ-values
B) alphaisthelearningrateusedtovarytheweightgiventooldexperiencescomparedwithfutureQ-values
C) alphaisthelearningrateusedtovarytheweightgiventonewexperiencescomparedwithpastQ-values
D) alphaisthelearningrateusedtovarytheweightgiventonewexperiencescomparedwithfutureQ-values
Correctanswer:C
Question370:Whatfollowingportfoliostatisticswouldnotbeagoodstatetotrainyourq-learningalgorithmon?
A) BollingerBandsB) SMAC) SMA/AdjustedCloseD) CurrentStockHoldings
Correctanswer:B
Question371:Whatisabenfitofreinforcementlearning?A) Wecanclassifyobjectsintodifferentcategories.B) Wecanobserveunknownsandassignrewardstothemtoreacha
goal.C) Wecanfeedittrainingdataandthentestitonadifferentset.D) Noneoftheabove.
Correctanswer:B
Question372:______isanexampleofarewardinaReinforcementLearningtradingproblem.
A) shortsellingB) SMAC) cumulativereturnD) RSI
Correctanswer:C
Question373:Ifastockpricefortodayis$110andanoptionfor$108callwas$300for100shares.Ifyoubuytheoptionandusetheoptiontobuy100sharesafteraweekwhenthestockpriceincreasesinto$120,howmuchwillbeyourbenefitifyouignoretradingfee?
A) 1200B) 1000C) 900D) 300
Correctanswer:C
Question374:Whichoptionsstrategywouldbethebestifyoucouldsuccessfullypredictthemarkettorisesharplyinafutureperiod?
A) Buyastock,writeacalloptionB) BuyacalloptionC) BuyaputoptionD) Butterfly
Correctanswer:B
Question375:Youfindabetthatyoucanpredictaccurately55%ofthetime.Youbet$100dispersedoverxbetsof$0orgreatereach.Thestandarddeviationofthereturnsofmakingthebetthatmanytimesis5.Whatistheriskadjustedrewardofmakingthesebets?
A) 2B) 20C) 500D) Notenoughinformation
Correctanswer:A
Question376:Inthecontextofreinforcementlearning,whatisthedailyreturn?
A) StateB) RewardC) BothAandB
Correctanswer:C
Question377:Youfindabetthatyoucanpredictaccurately55%ofthetime.Youbet$100dispersedoverxbetsof$0orgreatereach.Thestandarddeviationofthereturnsofmakingthebetthatmanytimesis5.Whatistheriskadjustedrewardofmakingthesebets?
A) 2B) 20C) 500D) Notenoughinformation
Correctanswer:A
Question378:WhichofthefollowingisNOTTRUEaboutGrinold&Kahn’sFundamentalLawOfActiveManagement?
A) Theformulaisderivedinabsenceoftransactioncost
B) InformationRatio(IR)isameasureofthevalueaddedperunitofrisk
C) ICcanbeestimatedaprioriwithprecisionD) Atanygivenlevelofrisk,anactiveportfoliomanagercanseekto
improvehisproductivitybyincreasingthenumberofindependentbetshemakes
Correctanswer:C
Question379:WhatfinancialinstrumentdidMichaelBurry(portrayedbyChristianBale)usetoshortthehousingmarket?
A) PutoptionsonRealEstateInvestmentTrustsB) ShortsellingrealestatefirmsC) CreditdefaultswapsD) CDOs(CollateralizedDebtObligations)
Correctanswer:C
Question380:AccordingtoGrinold'ssimplifiedFundamentalLawofActivePortfolioManagement,whichisapossibleexplanationforathree-foldincreaseinperformance?
A) Anine-timesincreaseintheInformationCoefficient.B) Anine-timesincreaseinthenumberoftrades.C) Atwo-timesincreaseintheInformationRatio.D) Athree-timesincreaseinthenumberoftrades.
Correctanswer:B
Question381:WhatdoesQ(state,action)return?A) Nextstateofthesystem.B) Nextactiontobeenacted.C) Expectedfuturerewardofthegivenactionatgivenstate.D) Noneoftheabove.
Correctanswer:C
Question382:WhichofthefollowingEfficientMarketsHypothesisassumptionsisfalse?
A) PricesreflectallavailableinformationB) PricesadjustsquicklyC) NewinformationarrivesrandomlyD) Asmallnumberofinvestors
Correctanswer:D
Question383:Amongthefollowing,whatqualitiesofthetradingdecisionwouldmaketechnicalanalysismorevaluablethanfundamentalanalysisinreachingit?
A) HIGHdecisioncomplexity,LOWdecisiontimeB) HIGHdecisioncomplexity,HIGHdecisiontimeC) LOWdecisioncomplexity,HIGHdecisiontimeD) LOWdecisioncomplexity,LOWdecisiontime
Correctanswer:D
Question384:WhichofthefollowingisevidenceagainstthestrongEfficientMarketsHypothesisbutconsistentwiththesemi-strongEfficientMarketsHypothesis?
A) Stockpricesareentirelyrandomandunpredictable.B) Peopleoftenprofitfrominsidertrading,andassuchitisillegalin
theU.S.C) Traderscanprofitfromanalysisoftechnicalindicatorsonly.D) Noprofitscanbemadefromonlytechnicalanalysis.
Correctanswer:B
Question385:whichoneofthefollowingsisnotanadvantageofbuyingoptions?
A) can'tlosemorethanthepremiumthatyoupaidB) leveragetocontrolmoremoneyC) tiewithlessmoneyD) hasanexpirationdate
Correctanswer:D
Question386:WhichofthefollowingfactorsisnotconsideredbyGrinold'sFundamentalLaw?
A) PerformanceB) ExperienceC) SkillD) Breadth
Correctanswer:B
Question387:Whatisthepurposeofthepi(s)functionwithregardtoReinforcementLearning,wheresisastate?
A) Itisapolicythatdefinestheactionwhichmaximizestherewardinstates
B) ItreturnsarandomactiontotakeforexplorationC) ItreturnsthecurrentrewardinstatesD) Itdeterminesifsisavalidstate
Correctanswer:A
Question388:InMarkovDecisionProblems,thetransitionfunctionhasthreeattributes.Oneoftheattributesisthefuturestate(s').Whatisthesumofallthenextstateswemightendupin?
A) 0B) -1C) 1D) 100
Correctanswer:C
Question389:InthecontextofaMarkovDecisionProblem(MDP)wheneveryexperiencetupleforanenvironmentintheformat,isknown…Iwouldusea___________todetermine_____________.However,ifnoknowledgeoftheenvironmentexiststhen______________isaviableapproachtodevelopthepolicyπ
A) ModelBasedreinforcementlearningapproach,T[s,a,s’]andR[s,a],Q-learning
B) ModelFreereinforcementlearningapproach,T[s,a,s’]andR[s,a],Q-learning
C) Valueiteration,R[s,a],PolicyiterationD) ModelBasedreinforcementlearningapproach,T[s,a,s’],Value
iteration
Correctanswer:A
Question390:WhentouseButterflystrategyinoptionstrading?
A) WhenthemarketisvolatileB) WhenthemarketismovinginacleartrendC) WhenthemarketgoessidewaysD) Noneoftheabove
Correctanswer:C
Question391:WhattypeoftechniqueisQ-Learning?A) supervisedlearningB) unsupervisedlearningC) reinforcementlearningD) regressionbasedlearning
Correctanswer:C
Question392:Mathematically,InformationRatioisequaltoinformationCoefficienttimesthesquarerootofbreadth.Pleaseselectallthatapplies
A) Performanceofthefundisduetotheskillsatmakingpredictiontimesthesquarerootofbreadth
B) Ifyouwanttoimproveyourperformanceyoucaneitherimproveonyourskillsoryourbreadth
C) Itisaloteasiertoincreasedbreadthbyfindingadditionalstocksorcommodities
D) Alloftheabove
Correctanswer:D
Question393:WhytheadjustedcloseisnotagoodstatevariablefortheQ-learningalgorithm?
A) Becauseyouarenotabletogeneralizewelltodifferentpriceranges.
B) Becauseitdoesnothavedirectcorrelationwiththeportfolio'sperformance
C) Becauseitistoovolatile.D) Becauseyouarenotabletodiscretizeit.
Correctanswer:A
Question394:WhichofthefollowingstatementaboutQ-Learningiswrong?
A) Qisalwaysviewedasatable.B) Qisrepresentingnotonlytherewardyougetforactingnow,itis
representingtherewardyougetforactinginthefutureaswell.C) Q-Learningisamodel-freeapproach,thusitissimilartootherRL
learningprocesseswiththetransitionsTandtherewardsR.D) Qcanbeviewdasatable,oritcanalsobeviewedasafunction.
Correctanswer:C
Question395:Alearningrateof1.0means
A) thetable'svalueshaveconvergedB) priceisintersectingwithitsmovingaverageC) thenewq-valueignoresitspriorq-valueD) dataisnormalizedbutnotstandardized
Correctanswer:C
Question396:WhichformofEfficientMarketHypothesis(EMH)sayswecannotmakemoneyinstockmarketbasedoninsiderinformation.
A) StrongB) WeakC) Semi-strongD) NoneoftheAbove
Correctanswer:A
Question397:Whatistheworstcasescenarioofpurchasinganoption?
A) LosingthepremiumB) LosingleverageC) LosingmomentumD) Losingyourself
Correctanswer:A
Question398:1.Technicalanalysisismorevaluablefor:
A) ShortertimeperiodsB) Longertimeperiods
Correctanswer:A
Question399:Riskoftwosecuritieswithdifferentexpectedreturncanbecomparedwith:
A) CoefficientofvariationB) StandarddeviationofsecuritiesC) VarianceofSecuritiesD) Noneoftheabove
Correctanswer:A
Question400:Whatisthestrong-formoftheefficientmarkethypothesis?
A) Pricesalreadyreflectpastpubliclyavailableinformation.B) Pricechangestoinstantlyreflectnewpublicinformation.C) Pricesreflecthiddeninsiderinformation.D) Alloftheabove.
Correctanswer:D
Question401:Letsayyouareusingreinforcementlearningtomakestrades,whichofthefollowingcouldbeconsideredarewardforyourtrades?A) BollingerValueB) HoldingLongC) BuyStockD) DailyReturn
Correctanswer:D
Question402:Whatisthesumofallprobabilitiess'inthetransitionfunction?
A) 100B) sC) 1D) a
Correctanswer:C
Question403:AccordingtotheNobleScientistHarryMarkowitz,whoisbestknownforhispioneeringworkinModernPortfolioTheory:(Pleaseselectthebestanswerfromthefollowingoptions):
A) BondsarelowestriskassetsB) StocksarelowestriskassetsC) BlendofStocksandBondscouldbelowestriskassetsthaneither
oneofthemindividuallyD) ModernPortfolioTheoryshowsEfficientFrontieronlyforStocks
asBondsareconsideredriskfree
Correctanswer:C
Question404:AssumethereisacalloptionforfutureX.IfthepriceoffutureXis80dollars,andthecalloptionallowsbuyingthefutureatpriceof90dollars.What'sthepriceofthiscalloption?
A) 10B) -10C) 0D) Noneofabove
Correctanswer:C
Question405:Overthelastyear,theaveragealpha(fromCAPM)ofyourinvestmentfundwas2.0,andthestandarddeviationofalphawas0.3,whilemaking10,000trades.Rachel,ayoungandaspiringfundmanagerwhograduatedfromGeorgiaTech,wantstojoinyourinvestmentfirm.Overthelastyear,hermeanalphavaluewas0.7,andthestandarddeviationofheralphavaluewas0.4,whilemaking400trades.YouwillsolelyuseInformationCoefficienttocomparetheskillsbetweenyourinvestmentfundandJane.WhatistheInformationCoefficientofyourinvestmentfund,andshouldyouletJanejoinyourfirm??(ThefactthatJaneisfromGeorgiaTechmustnotaffectyourdecision!)
A) 2/15,YESB) 1/15,NOC) 2/15,NOD) 1/15,YES
Correctanswer:D
Question406:Whichactivitybelowwillincreasethebreadthofaportfoliomanagement?
A) Investmoremoneyontheselectedstocks.B) Tradeonestockmorefrequently.C) Improvethestrategytoselectstockstoinvest.D) Applymachinelearningmethodtomaketradingdecisionson
selectedstocks.
Correctanswer:B
Question407:WhichofthefollowingstatementsisNOTTRUEaboutReinforcementLearning?
A) ReinforcementLearningisaMarkovDecisionProblem.B) ThegoalofReinforcementLearningistofindapolicythat
maximizesfuturereward.C) ReinforcementLearningdescribesasolutionforfindingthe
optimaltradingstrategy.D) Q-LearningisamodelfreeReinforcementLearningtechnique.
Correctanswer:C
Question408:WhencandynamicprogrammingmethodsbeusedtosolveaMarkovdecisionprocess?
A) Whentheenvironmentcanbeperfectlymodeledandnodirectinteractionisrequired
B) Whentheagentonlyhasexperiencefrominteractingwiththeenvironment
C) WhentheenvironmentcannotbeperfectlymodeledD) Whenanonlinelearningalgorithmimplementationisdesired
Correctanswer:A
Question409:TheInformationRatio(IR)isdirectlyproportionalto:I. manager’sskillinforecastingpricesII. squarerootofmanager’sskillinforecastingpricesIII. numberofindependenttradingopportunitiesovertimeIV.squarerootofthenumberofindependenttradingopportunitiesovertimeChoosethecorrectstatementsfromabove:
A) IandIIIonlyB) IandIVonlyC) IIandIIIonlyD) IIandIVonly
Correctanswer:B
Question410:WhichofthefollowingisacorrectstatementregardingthestrongformofEfficientMarketHypothesis(EMH)?
A) ItdoesnotsayanythingaboutfundamentalorinsiderinformationB) Itsuggeststhatwhencompanieshavetheirquarterlyreportsthat
containfundamentalinformation,pricesreactimmediatelyC) Itsaysyoucan’tprofitfromtechnical,fundamentalorinsider
analysisD) Itsayspricesadjustimmediatelytonewpublicinformation
Correctanswer:C
Question411:WhatistrueabouttheEfficientFrontier?A) ThepurposeoftheEfficientFrontierisshowtherangeofleastto
mostefficientportfoliosB) Allportfoliosbelowthefrontieraresub-optimalinsomewayC) Inpractice,mostpeopletrytobeasclosetotheEfficientFrontieras
possible.D) TheEfficientFrontiershowsthatreducingReturnalwayslowersRisk
Correctanswer:B
Question412:Supposeyouwriteacalloptionforastockwithapremiumof$3.14pershare.Ifyouwrite100shares,whatisthemaximumlossyoucouldexperience?
A) $3.14B) $314C) $0D) inf
Correctanswer:D
Question413:WhofirstinventedtheFundamentalLawwhereperformanceequalstoskilltimesrootofbreadth?
A) HarryMarkowitzB) WiliamSharpeC) RichardGrinoldD) TuckerBalch
Correctanswer:C
Question414:WhichoptioniscorrectaboutEfficientMarketHypothesis(EMH)?
A) Thesemi-strongversionofEMHpreventsfundamentalanalysisfromworking,butadmittheusageoftechnicalanalysisstrategies
B) EMHassumesthattherearealargenumbersofinvestorsC) TheversionofEMHdon'tthinkwecouldpredictthefutureprice
accordingtothefirm'sbalancesheetcompositionandliabilitiesD) EMHassumesthatnewinformationarrivesconsistently
Correctanswer:B
Question415:TheInformationCoefficientisdefinedas:
A) Thecorrelationofforecaststoreturns.B) Theratioofinvestingskilltothebreadthofinvestments.C) Thealpha(α)meandividedbythealpha(α)stdev.D) Thecoefficientofinvestinginformationtoreturns.
Correctanswer:A
Question416:WhichofthefollowingportfolioswouldperformthebestgivenGrinold'sFundamentalLawofActivePortfolioManagement?
A) 144stocksmanagedbyamanagerskillof5B) 25stocksmanagedbyamanagerskillof5C) 9stocksmanagedbyamanagerskillof10D) 49stocksmanagedbyamanagerskillof10
Correctanswer:D
Question417:Whichofthefollowingistrueaboutthecoinflipcasinolessons?
A) LowerAlphageneratesahigherSharpeRatioB) MoreexecutionopportunitiesprovideahigherSharpeRatioC) SharpeRatiogrowsasthesquarerootofperformanceD) Allofabove
Correctanswer:B
Question418:Accordingtothefundamentallawofmanaginganactiveportfolio,whichmethodisthemosteffectivewaytoincreaseyourperformanceinthemarket?
A) IncreasethenumberoftradeswiththesamealgorithmB) Improveyouralgorithmoftradingwhilekeepingthenumberof
tradesthesameC) Decreasethenumberoftrades.D) Sittightandhopeforthebest!
Correctanswer:B
Question419:WhichoneoftheseisNOTaEfficientMarketsHypothesisform?
A) Semi-strongB) WeakC) StrongD) Semi-weak
Correctanswer:D
Question420:WhichofthefollowingpiecesofinformationisNOTusedbyMarkovdecisionprocessestofindapolicy?
A) S,asetofstatesB) R,arewardfunctionC) A,asetofactionsD) Gamma,aweightoffuturerewardvalues
Correctanswer:D
Question421:Whichofthefollowingdescribetradingstrategiesonewouldexpecttouseinmomentumtrading?A) Buylow,sellhighB) Buyhigh,sellhigherC) Buylow,selllowerD) Sellhigh,buylow
Correctanswer:B
Question422:Whenyoubuyastockandwriteacallofit,whichofthefollowingsituationscanmaximizeyourprofitwithoutmakingyouloseyourstock?
A) ThestockpriceendsupandabovestrikeB) ThestockpriceendsupbutbelowstrikeC) ThestockpriceendsdownD) Thestockpricedoesn’tchange
Correctanswer:B
Question423:Whenyoubuyastockandwriteacallofit,whichofthefollowingsituationscanmaximizeyourprofitwithoutmakingyouloseyourstock?
A) ThestockpriceendsupandabovestrikeB) ThestockpriceendsupbutbelowstrikeC) ThestockpriceendsdownD) Thestockpricedoesn’tchange
Correctanswer:B
Question424:Whatkindofriskisreducedbydiversification?
A) StandarddeviationriskB) SpecificriskC) ShortriskD) Systematicrisk
Correctanswer:B
Question425:ConcerningBlackandScholes’dynamichedgingtechnique,whichofthefollowingservedasthecriticalpieceinsolvingtheproblemofhavingtocontinuouslyrecalculaterisk?
A) ItoCalculusB) Black-Scholes-MertonModelC) LinearAlgebraD) BernieSanders
Correctanswer:A
Question426:Whichofthefollowingfourinvestorsislikelytoperformthebestgiventhefollowinginformationcoefficients(ICs)andnumberofinvestments?Investor1:IC=3N=25Investor2:IC=5N=9Investor3:IC=4N=4Investor4:IC=4N=16
A) Investor1B) Investor2C) Investor3D) Investor4
Correctanswer:D
Question427:WhichfactorisNOTconsideredforMeanVarianceOptimization(MVO)?
A) ExpectedreturnB) VolatilityC) CovarianceD) Sharperatio
Correctanswer:D
Question428:Theportfoliosliealonetheefficientfrontieris:
A) thehighestreturnportfoliosforallsharpratiolevelsB) thehighestsharpratioportfoliosforallreturnlevelsC) thelowestriskportfoliosforallreturnlevelsD) thehighestreturnportfoliosforallrisklevels
Correctanswer:C
Question429:Whenmarketisstrong-formefficient,whichofthefollowingwillnothappen?
A) InsidertradecaughtbyauthoritiesB) SmartbetafundoutperformmarketintheshorttermC) MarkettimingresultsinnegativeprofitD) Momentumstrategyoutperformfor50years
Correctanswer:D
Question430:whichofthefollowingisnotpartofthetechnicalanalysis?
A) calculatebookvalueB) calculate20daymomentumC) calculate250daymovingaverageD) calculateBollingerband
Correctanswer:A
Question431:WhichoneofthefollowingchoicesisNOTTRUEaboutoptions?A) Optionsenablepeopletocontrolmoremoneyusinglessmoney.B) Withoptions,wecannotlosemorethanthepremiumthatwepaid
forthatoptionupfront.C) Optionscanbeboughtandsoldlikestocks.D) Optionscanbeheldonlikestocks.
Correctanswer:D
Question432:WhichisfalseconcerningdifferentpartsoftheQ-learningalgorithm
A) Alearningrateof0weightsnewinformationhighly.B) Lowdiscountfactorsmaketheagentshortsighted.C) Highdiscountfactorsmaketheqvaluesdiverge.D) Alearningrateof1weightsnewinformationhighly.
Correctanswer:A
Question433:ConsideringtheSemi-StrongformofEfficientMarketHypothesis,whichofthefollowingchoicesisincorrect?
A) Thehistoricalpricescanbeusedtopredictfutureprices.B) Pricescannotreflectallthepublicandprivateinformation.C) Insiderinformationisnotconsideredinthisform.D) Technicalanalysisworksmuchbetterthanfundamentalanalysis
inthisform.
Correctanswer:D
Question434:Whatisthereasonthatthemaincharactersin"TheBigShort"decideincreditdefaultswaps?
A) Theyallreadapaperthatpredictedthepossiblestockmarketcrash.
B) TheyallnoticedthatthehousingloanmarketwasinflatedwithhighriskloansbeingstructuredintoloanpackageswithaAAArating(lowriskrating)
C) TheyallnoticedthatthehousingloanmarketwasinflatedwithmediumriskloansbeingstructuredintohighriskloanpackageslikeBBtoCCC
D) TheyallgottippedoffbytheSMAforhousingloanmarketpredictingachangeinthetrend
Correctanswer:B
Question435:Whatisthereasonthatthemaincharactersin"TheBigShort"decideincreditdefaultswaps?
A) Theyallreadapaperthatpredictedthepossiblestockmarketcrash.
B) TheyallnoticedthatthehousingloanmarketwasinflatedwithhighriskloansbeingstructuredintoloanpackageswithaAAArating(lowriskrating)
C) TheyallnoticedthatthehousingloanmarketwasinflatedwithmediumriskloansbeingstructuredintohighriskloanpackageslikeBBtoCCC
D) TheyallgottippedoffbytheSMAforhousingloanmarketpredictingachangeinthetrend
Correctanswer:B
Question436:WhichofthefollowingisNOTanassumptiontakenunderEMH?
A) LargenumberofInvestorsB) PricesadjustquicklyC) PricesreflectallinformationD) NewInformationispredictable
Correctanswer:D
Question437:WhichoftheseisaninvalidallocationofmyportfolioifmyportfolioconsistsofAMZN,MSFT,GOOG,FB?
A) 0.25,0.25,0.25,0.25B) 0.2,0.4,0.6,0C) 0,0,1.0,0D) 0.01,0.01,0.01,0.97
Correctanswer:B
Question438:WhichstepisNOTusedtoBUILDaQ-LearningModel?Pleasecheckallthatapplies
A) Definestates,actions,rewardsB) Choosein-sampletrainingperiodC) IterateQ-tableupdateD) Backtestonlaterdata
Correctanswer:D
Question439:Twoinvestorshaveequalactiveportfolioperformance.Oneinvestorsuccessfullydoubleshisskill.UsingtheLawofActivePortfoliomanagement,howshouldtheotherinvestoradjusthisbreadthtomatchtheperformanceofthefirstinvestor?
A) DecreasebreadthinhalfB) DoublebreadthC) QuadruplebreadthD) Addchangeinskilltobreadth
Correctanswer:C
Question440:WhichoftheseisaninvalidallocationofmyportfolioifitconsistsofAMZN,MSFT,GOOG,FB?
A) 0.25,0.25,0.25,0.25B) 0.2,0.4,0.6,0C) 0,0,1.0,0D) 0.01,0.01,0.01,0.97
Correctanswer:B
Question441:BasedonMeanVarianceOptimization(MVO),oneshouldlookforstocksthathave:A) anti-correlationinshorttermsandpositive-correlationinlongtermsB) anti-correlationinshorttermsandpositive-correlationinshorttermsC) anti-correlationinlongtermsandpositive-correlationinlongtermsD) anti-correlationinlongtermsandpositive-correlationinshortterms
Correctanswer:A
Question442:Whatarethecorrect3formsofthehypothesis
A) weak,super-strong,strongB) weak,semi-strong,strongC) weak,mid-strong,strong
Correctanswer:B
Question443:Whichofthefollowingistrueforaportfoliocreatedfromagroupofassets(Chooseone)?
A) Thereturnoftheportfoliocanbegreaterthanthereturnofeachoftheindividualassets
B) Thestandarddeviationoftheportfoliocanbesmallerthanthestandarddeviationofeachoftheindividualassets
C) Theportfoliocouldhaveabetterrisk-returnprofilethantheonedefinedbytheefficientfrontier
D) Noneoftheabove
Correctanswer:B
Question444:WhoreceivedaNobelPrizefor"EfficientMarketsHypothesis(EMH)"?
A) JulesRegnaultB) EugeneFama
Correctanswer:B
Question445:Bill'sInformationratiois3timesthatofMary's.Theybothhavethesameskill(InformationCoefficient).Howcouldthedifferencebeexplained?
A) Billhas3timesthenumberoftradingopportunities(breadth)asMary.
B) BillwenttoanIvyLeaguetargetschoolwhileMarywenttoanon-target,thushehasmoreinformationaboutfinance.
C) Billhas9timesthenumberoftradingopportunities(breadth)asMary.
D) Billtradesinlargersizeandthushaslargerreturns.
Correctanswer:C
Question446:WeekformoftheEMHpredictsthatyoucan’tpredictfuturepricesbylookingathistoricalprices
A) TrueB) False
Correctanswer:A
Question447:WeekformoftheEMHpredictsthatyoucan’tpredictfuturepricesbylookingathistoricalprices
A) TrueB) False
Correctanswer:A
Question448:Whichofthefollowingstatementistrue?Thereinforcementlearningcanbemappedtotradingasfollows:
A) S:thestatesofthemarket,A:thebuy,sell,donothingactions,T:thetradescompleted,R:themoneymadeattheendofthetrade
B) S:thefeaturesandindicatorsofthestocks,A:thebuy,sell,donothingactions,T:themarket,R:themoneymadeattheendofthetrade
C) S:theavailablestatesoftherobot,A:theassetscurrentlyinportfolio,T:thetransitionfunctionsusedtodeterminebuyandsellactions,R:therobotusedtomakedecisions
D) Thereinforcementlearningcannotbemappedtotrading.
Correctanswer:B
Question449:AMarkovdecisionproblemisNOTdefinedby:
A) thepotentialstatesB) thepotentialactionsC) thepotentialruleD) therewardfunction
Correctanswer:C
Question450:Whichofthefollowingstatementistrue?Thereinforcementlearningcanbemappedtotradingasfollows:
A) S:thestatesofthemarket,A:thebuy,sell,donothingactions,T:thetradescompleted,R:themoneymadeattheendofthetrade
B) S:thefeaturesandindicatorsofthestocks,A:thebuy,sell,donothingactions,T:themarket,R:themoneymadeattheendofthetrade
C) S:theavailablestatesoftherobot,A:theassetscurrentlyinportfolio,T:thetransitionfunctionsusedtodeterminebuyandsellactions,R:therobotusedtomakedecisions
D) Thereinforcementlearningcannotbemappedtotrading.
Correctanswer:B
Question451:Whichstatementisnottrue?A) Youcanhavemuchlowerriskportfolioifyoucombineassetsthat
areanti-correlated.B) Anti-correlationisgoodstrategyforlongterm,anpositive
correlationisgoodforshorttermtomaximizeyourreturn.C) Meanvarianceoptimizationisawayoftakingapotentialsetof
assetsandfiguringouthowtheyshouldbeblendedbylookingattheirco-varianceamongotherthings.
D) Theoutputofmeanvarianceoptimizationisasetofweights,oneweightforeachassetinaportfolio.
Correctanswer:B
Question452:HarryMarkowitzshowedthatifyouwantedthelowestriskreturns,whatshouldyoubuy?
A) StocksB) BondsC) ABlendofStocksandBonds
Correctanswer:C
Question453:WhichofthefollowingactionsisNOTconsideredtechnicalanalysisofastock?
A) StudyingpricehistoryofthestockB) StudyingtradingvolumeofthestockC) StudyingtheS&P500trendsD) Calculatingthebookvalueofthestock
Correctanswer:D
Question454:WhichofthefollowingisnottrueaboutQ-Learning?
A) Q-Learningcannotbeappliedtoproblemdomainswhereallstatesarenotfullydefined.
B) Q-Learningcanbeappliedtoproblemdomainswherealltransitionsarenotfullydefined.
C) Noadditionalstructuresarerequiredtostorerewards–R(s,a).D) Q-valueforanystateactionpairtakesintoaccountfuture
rewards.
Correctanswer:A
Question455:WhatdidCharlieGellerandandJamieShipleyrealizewhenBearStearnsclaimedthatthepriceoftheCDOsthattheywantedtoshortdidnotmove?
A) CharlieGellerandandJamieShipleywerewrong.ThepriceoftheCDOsshouldstaythesame.
B) CharlieGellerandandJamieShipleywerewrong.ThepriceoftheCDOsshouldgoup.
C) CharlieGellerandandJamieShipleywereright.ThepriceoftheCDOsshouldgodownduetosubprimemortgagelosses.
D) CharlieGellerandandJamieShipleywereright.ThepriceoftheCDOsshouldgodownbecausepeoplewerepayingtheirmortgagesontime.
Correctanswer:C
Question456:WhichofthefollowingisnotaTechnicalIndicator?
A) Price/EarningsratioB) Price/VolumeratioC) momentumD) percentchangeinvolume
Correctanswer:A
Question457:Whatistheoutcomeofthepolicyfunctioninreinforcementlearning?A.TheQvalueofthecurrentstateB. TheoptimalactionofthecurrentstateC. TheprobabilitydistributionofnextstatesgivenanactionD. Noneofabove
A) TheQvaluesareusedtodevelopthepolicyfunction.B) CorrectC) Itisimportantinformationindevelopingthepolicyfunction,but
nottheoutcomeD) Notcorrect
Correctanswer:B
Question458:HowdoesthealphaandgammavaluesinQ-learningrelatetotheagentlearning/update?
A) Theagentlearnsmorequicklywithlargeralphavalueandvalueslaterrewardsmorewithsmallergamma
B) Theagentlearnsmorequicklywithlargeralphavalueandvalueslaterrewardsmorewithlargergamma
C) Theagentlearnsmoreslowlywithlargeralphavalueandvalueslaterrewardsmorewithsmallergamma
D) Theagentlearnsmoreslowlywithlargeralphavalueandvalueslaterrewardsmorewithlargergamma
Correctanswer:B
Question459:Forwhatvalueoflambdawithdiscountedrewardoptimization,youwillreach$1millionfaster?
A) 0.75B) 0.5C) 0.25D) 0.1
Correctanswer:A
Question460:InS&Pcreditrating,whichratingmeansthebestrating?
A) AAAAB) AAAC) AAD) A
Correctanswer:B
Question461:WhatarecomponentsofMarKovdecisionProblem?A) Setofactions->Pi(policy),Transitionfunctions,negativeReward
function.B) SetofStatesPrime,Setofactions,SetofStates,Rewardfunction.C) SetofStates,Setofactions,Transitionfunctions,Rewardfunction.D) SharpeRatio,Setofactions,Transitionfunctions,Setofactions.
Correctanswer:C
Question462:WhatmakesDyna-Qsuitableforfinancialtradingapplications?
A) Dyna-Qtakeshistorical&realdatainaccountB) Dyna-Qtakesreal&simulatedexperienceinaccountC) Dyna-QisRLmethodD) Noneofabove
Correctanswer:B
Question463:Inthefundamentallaw,thegivenequationisIR=IC*√BR,theinformationratio,whichisthemeasureofhowtheportfolioexceedsthemarket’sperformance,iscalculatedby:
A) Mean(αp(t))/stddev(αp(t))B) Stddev(αp(t))/mean(αp(t))C) Mean(αp(t))D) NoneoftheAbove
Correctanswer:A
Question464:WhichofthesestatementsisFalseabouttechnicalanalysis?
A) TechnicalanalysisiseffectiveondecidingshorttermstrategyB) Technicalanalysisismoreeffectivewhencombiningmultiple
indicatorsC) TechnicalanalysisconsidersthebookvalueofacompanyD) Technicalanalysisconsidersthehistorialpriceandvolumeofthe
stock
Correctanswer:C
Question465:SupposetwofundmanagersM1andM2haveresidualreturnalpha1andalpha2,andmean(alpha1)=mean(alpha2),stdev(alpha1)>stdev(alpha2).Ifbothmanagershavethesamenumbersoftradesperyear.Whichmanagerdoyouthinkhasbetterskills?
A) M1B) M2C) Theyarethesame.D) Cannottell.
Correctanswer:B
Question466:WhydidCharlieGellerandJamieShipleyofBrownfieldCapitalgetrejectedbyJPMorgantoacquiretheirISDA?
A) BrownfieldCapitaldidn’thaveenoughfundmanagerstobeconsideredlargeenoughforanISDA
B) BrownfieldCapitaldidn’thaveenoughmoneyintheirfundtobeconsideredforanISDA
C) BrownfieldCapitalhadn’tbeenestablishedlongenoughtomeetISDAagerequirements
D) CharlieGellerandJamieShipleydidn’thavethecorrectlicensingtofileforanISDA
Correctanswer:B
Question467:IfwewritetwoXYZcalloptionswithstrikeprice$110,longoneXYZcalloptionwithstrikeprice$100,longoneXYZcalloptionwithstrikeprice$120,andthetotalpremiumforthesepositionsis$-233,thenwhatwouldbethemaximumP/Lthatwecouldget(optionsaretradedinunitof100shares)?
A) 277B) 777C) 233D) 577
Correctanswer:B
Question468:Whichofthefollowingstatementsisnottrue?
A) Systematicriskisthatriskundertakenbyexposuretoanyassetintheassetclass.
B) Diversificationmutessystematicrisk.C) Specificriskistheriskassociatedwithaparticularasset.D) Diversificationbenefitdeceleratesastheportfoliobecomestoo
diverse.
Correctanswer:B
Question469:WhichofthefollowingmakesupaMarkovDecisionProblem?
A) setofactions,transitionfunctionandstatefunctionB) setofstates,setofactions,transitionfunctionandreward
functionC) setofstates,rewardfunctionandactionfunctionD) setofstates,setofactionsandrewardfunction
Correctanswer:B
Question470:ThevalueoftheDiscountedReward(Gamma)is0.95.Howdowevaluethefuturereward?
A) MoreB) LessC) EquallyD) Novalue
Correctanswer:A
Question471:Imagineyouareconsideringinvestinginoneoftwodifferenthedgefunds,BlackorKnight.IfBlackhastwicethemarketskillthatKnighthas,butKnighthasthreetimesthebreadththatBlackhas,whatisthebestchoiceaccordingtotheFundamentalLaw?A) ChooseBlackbecausethehigherbreadthwilllikelyresultinabetter
performanceB) ChooseKnightbecauseaccordingtothefundamentallaw,skillis
moreimportant.C) Thereisn'tenoughinformationtocalculatetheFundamentalLaw
Correctanswer:A
Question472:Whichofthefollowingisnotaninputofthemeanvarianceoptimization(MVO)?
A) VolatilityB) CovarianceC) TargetreturnD) Assetweightsforportfoliothatminimizerisk
Correctanswer:D
Question473:Whatisthenameoftheoptionstrategybelow:Long1callwithastrikepriceof(X−a)Short2callswithastrikepriceofXLong1callwithastrikepriceof(X+a)whereX=thespotprice(i.e.currentmarketpriceofunderlying)anda>0.
A) BearPutSpreadB) ButterflySpreadC) LongStraddleD) BullCallSpread
Correctanswer:B
Question474:The3formsoftheefficientmarkethypothesis,inorderfromweaktostrong,proclaimmarketefficiencywithregardtowhichadditionalsourcesofinformation,respectively?
A) historicalprice/volumedata,public/fundamentalinformation,insiderinformation
B) insiderinformation,public/fundamentalinformation,historicalprice/volumedata
C) public/fundamentalinformation,insiderinformation,historicalprice/volumedata
D) public/fundamentalinformation,historicalprice/volumedata,insiderinformation
Correctanswer:A
Question475:Technicalanalysisuses:
A) historicalpriceandvolume;futuredividendsB) historicalpriceandvolumeC) historicalvolumeandprojectedeconomicindicatorsD) historicalvolume
Correctanswer:B
Question476:Whichofthefollowingdate/pricetimeseriesrepresentthemostprofitablescenariofortheholderofaPUToptionpurchasedon01/01/18,withastrikepriceof$10andanexpiryof01/03/18?
A) 01/01/18/$11,01/02/18/$12,01/03/18/$13,01/04/18/$14B) 01/01/18/$11,01/02/18/$1,01/03/18/$1,01/04/18/$1C) 01/01/18/$11,01/02/18/$10,01/03/18/$2,01/04/18/$0D) 01/01/18/$11,01/02/18/$0,01/03/18/$50,01/04/18/$500
Correctanswer:D
Question477:WhattypeofstrategiesdoestheStrongEfficientMarketHypothesisprohibits?
A) InsiderStrategiesB) FundamentalStrategiesC) TechnicalStrategiesD) Alloftheabove
Correctanswer:D
Question478:ReinforcementlearningalgorithmsfitaproblemsettingknownasMarkovdecisionprocess.IntheMarkovdecisionprocess,theoutcomeofapplyinganyactiontoanystatedependsonwhat?
A) onlyonthisactionandstateB) thisactionandstate,aswellas,precedingactionsorstatesC) T,thetransitionprobabilityD) winningtheSovietlottery
Correctanswer:A
Question479:WhichofthestatementsbelowisFALSE?
A) AhigheralphageneratesahigherSharperatioB) MoreexecutionopportunitiesgeneratesahigherSharperatioC) MorebreadthgeneratesahigherSharperatioD) AhigherSharperatioincreasesexpectedreturn
Correctanswer:D
Question480:In“TheBigShort”,whattermoracronymisintroducedtodescribedafundcomprisedofseveralcollateralizeddebtobligations?
A) SyntheticCDOB) Mortgage-BackedSecurityC) CDOD) CreditDefaultSwap
Correctanswer:A
Question481:Tompurchased100callsofstockXononeday,wheretheduedateoftheoptionis12.16.2018,thestrikepriceis120,andthelastpriceoftheoptionis2.00.IfonthatdaythepriceofXis115andon12.16thepricefirsttimearrivesabove120,whichis125.HowmuchprofitcanTomgainby12.16intheory?(Wedonottaketradingfeeintoconsideration.)A) 1000B) 300C) 500D) 12000
Correctanswer:B
Question482:Canyoucreateaportfoliothathaslowerriskthananyindividualcomponent?
A) Yes.Co-variancebetweenassetsallowsonetomitigateriskB) No.Asportfoliosareweightedsumsofassetswecannotlower
riskbeyondthelowestriskasset.asset.C) Yes.Aswecanswitchbetweenlongandshortpositionsonan
individualasset,wecanlowerriskwithanoptimalstrategyD) No.Riskcannotbeexpressedasanumberthereforethereisno
conceptoflowerrisk.
Correctanswer:A
Question483:Theefficientmarketshypothesisfailedin2008duetothepropagationmisinformationabouttheriskandvalueofmortgagesascollateralforCDO's.Whatmacroeconomicmetricincreasedhigh-riskmortgagelendingpriortothe2008financialcrisisandthereforedistortedthevalueofCDO'sbasedonmortgages?
A) UnemploymentRateB) InterestRateC) GrossDomesticProductD) EconomicGrowthRate
Correctanswer:B
Question484:Whichmarketwasbeingshortedin"TheBigShort"?
A) StudentLoansB) HealthcareC) HousingD) Manufacturing
Correctanswer:C
Question485:Considerhowyouwouldevaluateaassetfordifferenttimehorizons.Youmaybetryingtoevaluateshorthorizons,suchaspricemovementsinthecomingseconds,orlonghorizons,suchasyearsordecadesaway,oranyperiodinbetween.Whattimehorizonsaremostsuitablefortechnicalanalysisandfundamentalanalysis?
A) Shorthorizonsfortechnicalanalysis,shorthorizonsforfundamentalanalysis.
B) Shorthorizonsfortechnicalanalysis,longhorizonsforfundamentalanalysis.
C) Longhorizonsfortechnicalanalysis,shorthorizonsforfundamentalanalysis.
D) Longhorizonsfortechnicalanalysis,longhorizonsforfundamentalanalysis.
Correctanswer:B
Question486:Youareanrunningahedgefund.AccordingtotheFundamentalLawofPortfolioManagement,whichofthefollowinghavethegreatestpositiveimpactonyourportfolio?
A) Doublingthecorrelationofpredictedassetpricestoactualassetprices.
B) Doublingthenumberofpositionstakenintheportfolio.C) Decreasingcommissionsbycuttingthenumberoftradesinhalf.D) AandBarethesame.
Correctanswer:A
Question487:WhichversionoftheEfficientMarketHypothesissaysthatinsidertradingistheonlywaytomakemoney?
A) WeakB) Semi-StrongC) StrongD) Ultra-Strong
Correctanswer:B
Question488:WhyisDynapreferredoverbasicQ-Learning?
A) Dyna-Qcanhandlepositiverewards,whilebasicQ-Learningcannot
B) Dyna-QconvergesfasterthanQ-LearningC) BasicQ-learninghallucinatesextradata,ratherthanusingactual
dataD) Dyna-Qwasdesignedforfinancialsystems
Correctanswer:B
Question489:InGrinold'sFundamentalLawofActivePortfolioManagement,whichofthefollowingrepresentsaperfectlycorrectpredictorforthemanagersInformationCoefficientorIC.
A) 0B) 1C) 1.5D) -1
Correctanswer:B
Question490:Whatisthepurposeoftherandomactionrate(rar)andhowdoesitrelatetotheconceptofexplorationvsexploitation?
A) Randomactionrateistheprocessofrandomlyexploringknownstateswiththehighestrewards.
B) Randomactionrateistheprocessofrandomlypickingthebestknownactionsandasitdecaysitwilloptimizeworldexploration.
C) Randomactionrateistheprocessofrandomlyexploringactionsandasitdecaysitwillleadtotheexploitationofoptimalactions.
D) RandomactionrateisnotusefulforQ-Learningasitdoesnotprovidetheoptimalactions.
Correctanswer:C
Question491:WhichofthefollowingproblemwouldreinforcementlearningbeNOTsuitablefor?A) ControlamobilerobotB) OptimizeoperationsinfactoriesC) PlayboardgamesD) Controlaself-drivingcar
Correctanswer:D
Question492:WhichofthefollowingisNOTaninputtotheMeanVarianceOptimizationfunction?
A) ExpectedreturnB) VolatilityC) MomentumD) Covariance
Correctanswer:C
Question493:WhichoneofthesesourcesareincorrectinEMHinformationsources?
A) FundamentalB) Price/VolumeC) PublicD) Exogenous
Correctanswer:C
Question494:whichoneoffollowingistrueregardingDyna-QandQlearning
A) BecausebothDyna-QandQ-learningchooseoptimalpolicyusingQvaluetablewhichisupdateduponrealworldinteraction,thereforebothDyna-QandQlearningcouldbeconsideredasmodel-freereinforcementlearning
B) thehigherlearningrateusedinDyna-QandQ-learning,theslowerconvergencyoftheoptimalpolicy
C) bothDyna-QandQ-learningrequireexplorationtodiscoveroptimalpolicy,differenceisthatDyna-Qusesimulationontransactionandrewardmodeltotakerandomaction,whileQ-learningneedstodorandomactionintherealworld
D) Q-learningrequiretomaintainandupdatemodeloftransactionfunctionandrewardfunction
Correctanswer:C
Question495:Whencomparingtwoportfoliosthatlieontheefficientfrontier:
A) Theportfoliowiththelowestreturnissuboptimalcomparedtotheportfoliowiththehighestreturn
B) TheportfoliowiththehighestreturnwillhavethehighestSharperatio
C) Theportfolioontheefficientfrontierwiththelowestreturnwillhavethelowestrisk
D) Eachportfoliooffersthelowestlevelofriskforanexpectedreturn
Correctanswer:D
Question496:WhatisthestrongformofEMH?
A) PricesadjusttonewpublicinformationB) FuturepricescannotbepredictedbyjustanalyzinghistoricpricesC) PricesadjusttopublicandprivateinformationD) Noneoftheabove
Correctanswer:C
Question497:IfS=spotprice,E=exerciseprice,thenthevalueofaputoptionis
A) MAX(0,E-S)B) MAX(0,S-E)C) MIN(0,E-S)D) MIN(0,S-E)
Correctanswer:A
Question498:HowtherandomnessofactionsshouldbesetduringtheiterationsofQ-learningProcess?
A) IncreaseduringiterationwithaproperstartvalueB) DecreaseduringiterationwithaproperstartvalueC) StaythesamewithaproperstartvalueD) Norandomnessshouldbeapplied
Correctanswer:B
Question499:RegardingtheEffectiveMarketHypothesis,whichofthefollowingisnottrue
A) InformationcancomefromInsiderknowledgeB) Intheweakform,futurepricescannotbepredictedC) Inthestrongform,pricesreflectalldata,bothpublicandprivateD) Newinformationcomesrandomlyandpricesavailable
information
Correctanswer:B
Question500:Ifyoupredictthefuturestockpricewillmoveupanddowninasmallpricerange,whichoptionstrategyyouwillapply?
A) BuyCallB) BuyShortC) CoverCallD) ButterFly
Correctanswer:D
Question501:InQ-Learning,weuseMAXoperatortofindtheoptimalpolicy,whatifweuseMEANoperatorinsteadofMAXintheBellmanEquation.Whichoneofthefollowingdoyouthinkiscorrect?A) ThelearningprocesswillnotconvergeifnotusingMAXoperatorB) Itdependsontheproblem,itmightormightnotconverge.C) Itwillstillconvergetotheoptimalpolicy,withMEANoperatorthe
targetpolicywillbesaferasthisoperatoraveragesoutsomenoiseinthelearningprocess.
D) Itwillconvergetosomepolicy,notnecessarilythesameoptimalpolicyasweobtainusingMAXoperator.
Correctanswer:D
Question502:Frontrunningastock(highspeednetwork)operatesagainst(tryingtobeat)whichEfficientMarketHypothesis(EMH)?
A) TherearealargenumberofinvestorsoperatingintheMarketforProfit
B) NewinformationarrivesrandomlyC) PricesadjustquicklyD) Pricesreflectallavailableinformation
Correctanswer:C
Question503:WhichoneofthefollowingstatementisrightregardingtoCDO?
A) ACDOisatypeofasset-backedsecuritythatrepresentstheamountofinterestinapoolofmortgageloans.
B) ACDOcanbebackedbyanydebtcollateral,includingmortgages,bonds,privateloans.
C) ACDOgenerallyinvestsinCDSs.D) ACDOisafinancialswapagreementthatthesellerwill
compensatethebuyerintheeventofadebtdefault.
Correctanswer:B
Question504:Statement:AsperGrinold'sfundamentalLawPerformanceisdirectlyproportionaltobreadth
A) TheStatementisawaysTrueB) TheStatementisawaysFalseC) TheStatementissometimeTrueD) NoneoftheAbove
Correctanswer:B
Question505:WhichofthefollowingstatementisTRUEintermsofCAPMbeta?
A) Stockthathashigherbetaisbetterthanstockthathaslowerbeta.
B) Ifbetaofastockisgreaterthan1,itimpliesthestockhashighervolatilitythanthemarket.
C) Ifbetaofastockislessthan1,itimpliesthestockhashighervolatilitythanthemarket.
D) Ifbetaofastockisequalto1,itimpliesthestockhasthesamelevelofriskasthestockmarket.
Correctanswer:B
Question506:Whatistheassumptionbehindtechnicalanalysis?
A) Pastmarkettrendscanpredictthefuturebehaviorforthemarketasawholeandforindividualstocks.
B) Futuremarketbehaviourisindependentofpast.C) Futurestockstockpriceisrandomandfollowsnotrend.D) Bothmarkets&stockarerandom,anddifficulttomodelwithhigh
precision.
Correctanswer:A
Question507:Weseethatastockoptionwitha$50strikepriceispricedat$3.01,andthecurrentmarketpriceforthatstockis$60.whatistheactualpricewepayfortheoptionifwewishtobuyit?
A) $3.01B) $50C) $53.01D) $301
Correctanswer:D
Question508:Anefficientmarkethypothesisstatesinwhichallpublicorprivateinformationisreflectedincurrentmarketpricesisclassifiedas
A) marketefficiencyB) semistrongefficiencyC) weakformefficiencyD) strongformefficiency
Correctanswer:D
Question509:Peter,employeeofCompanyAtellsyoubeforehiscompany'searning'scallthatthecompanyisgoingtogiveoutabigdividend.InwhichformofEfficientMarketHypothesisbelowthatyoucanbenefitfromthispieceofinformation?
A) WeakB) Semi-StrongC) StrongD) BothAandB
Correctanswer:D
Question510:What'sthedefaultratethatwillmaketheCDOworthless?
A) 5%B) 6%C) 7%D) 8%
Correctanswer:D
Question511:WhatisanExperienceTupleinReinforcementLearning?A) Thestate,action,alteredstateandrewardfromeachstepusedto
buildpolicyB) ThevalueiterationusedtofindTandRthroughtheuseofevaluating
therewardC) TheinfinitehorizonmaximizingtheexperienceoverallrewardsD) Theactofcuttingdownthemightiesttreeintheforest...WITH...A
HERRING!
Correctanswer:A
Question512:AccordingtotheEMH,whichofthestatementisnotcorrect?
A) Thehighestlevelofmarketefficiencyisstrongformefficiency.B) Ifmarketsaresemi-strongformefficient,thenpassiveportfolio
managementstrategiesaremostlikelytoearnabnormalreturnsC) Anefficientmarketrequirespriceadjustmentsoccurquickly.D) Informationisthecentralissueoftheefficientmarket.
Correctanswer:B
Question513:Whichhasagreaterimpactontheriskadjustedreturn?
A) SkillonpredictingalphaB) HoldingmoreequitiesC) TurningoverassetsmorefrequentlyD) Allhaveequalimpact.
Correctanswer:A
Question514:Basedonthefundamentallaw,whichofthefollowingscanincreasetheinformationratiofrom1to2?
A) Doublethestrategy'sbreadth(BR).B) Doublethemanager'sinformationcoefficient(IC).C) DoubleBRandICsimultaneously.D) Noneofabove.
Correctanswer:B
Question515:Inthefollowingelements,whicharereliedinQLearning
A) TransitionMatrixB) RewardFunctionC) BothD) Noneofthem
Correctanswer:D
Question516:Therangeofalongcallposition'sdeltais
A) [0,1]B) [-1,1]C) [-1,0]D) [0,infinite]
Correctanswer:A
Question517:IfusingBorllingerbandasatechnicalindicator,whenisthegoodtimetobuythestockbasedonthevalueofthetechnicalindicator?
A) whenthevalue>1B) whenthevalue<1C) whenthevaluechangesfrom>1to<1D) whenthevaluechangesfrom-1
Correctanswer:D
Question518:Consideringthefollowingcode,whatisthefinaloutput:importnumpyasnpa=np.arange(6)b=ab.shape=3,2b=b.reshape(2,3)printa
A) [0,1,2,3,4,5]B) [[0,1],[2,3],[4,5]]C) [[0,1,2],[3,4,5]]D) [[0,1,2,3],[4,5]]
Correctanswer:B
Question519:TheEfficientMarketHypothesis(EMH)prohibitsdifferentkindsofanalysisbasedonwhetheritisweak,semi-strong,orstrong.SelecttheanswerthatmatchesthecorrectEMHtotheanalysisthatitprohibits.
A) Semi-strong:TechnicalAnalysis,InsiderAnalysisB) Semi-strong:TechnicalAnalysis,FundamentalAnalysisC) weak:FundamentalAnalysis,TechnicalAnalysis,InsiderAnalysisD) weak:FundamentalAnalysis
Correctanswer:B
Question520:WhichofthefollowingisnotanEMHassumption?
A) TherearealargenumberofinvestorsB) NewinformationarrivesdailyC) PricesadjustquicklyD) Pricesreflectallavailableinformation
Correctanswer:B
Question521:Whichoneisgoodtechnicalanalysisindicator?A) interestratesB) consumersentimentC) momentumofastock'spriceD) inflation
Correctanswer:C
Question522:WhataretheinputstotheMeanVarianceOptimizationalgorithm?
A) Dailyreturns,StandardDeviation,Correlation,ExpectedreturnB) Expectedreturn,SharpeRatio,Correlation,TargetreturnC) Expectedreturn,Weights,StandardDeviation,CumulativereturnD) Expectedreturn,StandardDeviation,Correlation,Targetreturn
Correctanswer:D
Question523:Whichofthefollowingarecharacteristicsoftechnicalanalysisasitrelatestostocktrading?
A) PriceandearningsB) VolumeandbookvalueC) PriceandvolumeD) Bookvalueandcashflow
Correctanswer:C
Question524:Whichisn’tagoodindicatorfortechnicalanalysis?
A) simplemovingaverageB) interestratesC) momentumD) BollingerBands
Correctanswer:B
Question525:Whichbestdistinguishesreinforcementlearningfromsupervisedlearning?
A) Predictingthemid-pointvaluebetweenthehighestaskandthehighestbid.
B) Creatingarule-basedpolicythattakespriceasinputanddecideswhethertobuy,sell,orhold.
C) Usingpositivenetprofitasarewardsignalwhentradingprofitably.
D) BothBandC
Correctanswer:D
Question526:WalmartannouncesthatitisgoingtojoinhandswithGoogletobeatAmazoninthespaceofVoiceenabledShopping.WhichtypeofEMHallowsanyinvestorinWalmart(insideroroutsider)totakeadvantageofthis?
A) WeakEMHonlyB) WeakandSemi-strongEMHC) Semi-strongEMHonlyD) Semi-strongandStrongEMH
Correctanswer:A
Question527:WhichofthefollowingstatementisfalseregardingEfficientMarketsHypothesis(EMH)?
A) Itshouldbeimpossibletooutperformtheoverallmarketthroughexpertstockselection
B) StockscanbenevertradedattheirfairvalueC) Theonlywayforinvestorcanpossiblyobtainhigherreturnsisby
chanceorbypurchasingriskierinvestmentD) Stocksarealwaystradedattheirfairvalue
Correctanswer:B
Question528:AlowerlearningrateenablestheQ-LearningalgorithmtolearnmorequicklybystronglypreservingthepreviousvalueofQ[s,a]overtheimprovedestimate.
A) TrueB) False
Correctanswer:B
Question529:Q-Learningisamodelfreeapproachandcanbeappliedtodomainswhereallstatesand/ortransitionsarenotfullydefined.
A) TrueB) False
Correctanswer:A
Question530:SECregulationsmakeitillegaltouse“insiderinformation”toearnprofits.TheSECmustbelievethatthemarketis:
A) strongformefficient,butnotsemi-strongformefficient.B) semi-strongformefficient,butnotstrongformefficient.C) strongformefficient.D) semi-strongformefficient,butnotweakformefficient.
Correctanswer:B
Question531:InTheBigShort,thebanksbundledhighriskmortgagestogetherintoCDOsandtheratingsagenciesgavethesewhatrating?A) 100B) AAAC) A+D) Verygood
Correctanswer:B
Question532:Atthebeginningofthecrisisbreakout,howcanthevalueofmortgagesubprimebondsnotbeaffectedbythedemiseofthehousingmortgagesubprimeloanswhicharetheverythingthesebondsinsure?
A) TheyareindependentmarketsandarenotalwayscorrelatedsincethosemortgagebondsespeciallymodernonesmadeoflayersoftranchesandthederivativessuchasCDOsareverycomplicatedproducts.
B) Themainstreaminvestmentbanksareselling/unloadingbondstounsuspectingcustomers,andtheywillnotde-valuethemuntiltheygetthemofftheirbooks,whichareinfactcriminalactivities.
Correctanswer:BQuestion533:Whichofthefollowingstatementsisfalse?
A) Q-Learningisonlyguaranteedtoconvergewhensupplemented
bymethodslikeDynaduetotheincreasedcomputationandfurtherexploration.
B) Q-Learningismodelfreeanddoesnotrequireknowledgeabouttherewardsfunctionorstatetransitionmatrix.
C) UsingDynacancauseQ-Learningtotakemorecomputationaltimetoconvergeifhallucinatingisnotsignificantlycheaperthaninteractions.
D) Randomnessinactionscanbeusedtoforceanagenttoexploretheenvironment
Correctanswer:A
Question534:Whichcombinationofinformationratioandbreadthproducesthehighestexcessreturn?
A) IR=1000,B=1000B) IR=100,B=10,000C) IR=10,000,B=100D) IR=5,000,B=5,000
Correctanswer:D
Question535:Usingtheefficientfrontier,whatwouldbetheoptimalportfolioforafundinglookingforthelowestriskpossible?
A) 100%stocksB) 100%bondsC) AmixofstocksandbondsD) 100%outofthemoneyoptions
Correctanswer:C
Question536:WhatisNOTatechnicalanalysischaracteristic?
A) EarningsB) PriceC) VolumeD) BothBandC
Correctanswer:A
Question537:WhatisNOTatechnicalanalysischaracteristic?
A) EarningsB) PriceC) VolumeD) BothBandC
Correctanswer:A
Question538:AssumingyouareabrokerandyoupredictthatAPPLstockwillgosidewaysinthefuture.ThecurrentAPPLstockpriceis$201.Youdecidetouse“butterfly”combinationoptionstomakeprofitfromthemarket.Youbuytwocallingoptions.Oneoption’sstrikepriceis$195andtheoption’spriceis$9.Theotheroption’sstrikepriceis$210andtheoption’spriceis$1.Meanwhile,youwritetwocallingoptionswhosestrikepriceis$200andpriceofthewrittenoptionsis$4.Whatarethemaximumprofitandmaximumlossofthesetradingstrategies?
A) $300,$200.B) $3,$2.C) $200,$300.D) $300,$300.
Correctanswer:AQuestion539:IfwehavetomaptradingproblemtoReinforcementlearning,SharpeRatioiswhatkindofafactor?
A) ItisastateweneedtoconsiderbeforewemakeatradeB) ItisanactionthatwegivetothemarkettocauseatradetooccurC) ItapotentialrewardtoinformouralgorithmhowtotradeD) BothA)andB)
Correctanswer:D
Question540:Considerasystemwith2statesand2actions.Youperformactionsandobserverewardsandtransitionsas:inS1,takea1,receiveR=-10,andlandinS1;inS1,takea2,receiveR=-10,andlandinS2;inS2,takea1,receiveR=+20,andlandinS1.UseQ-learningwithlearningrate0.5anddiscountfactor0.5foreachstep,whatisQ(S2,a1)?AssumeallentriesoftheQ-tableareinitializedtozero.
A) 10B) 8.75C) 0D) 5
Correctanswer:B
Question541:-Considertwotradingfirms,tradingfirmAandtradingfirmB,thathavecomparableperformancewhentrading.WhichtwofactorsdoestradingfirmAneedtohaveovertradingfirmBtohavetwicetheperformance?1.Twicethebreadthoftradesandthesameskill2.Thesamebreadthoftradesandtwicetheskill3.Twicethebreadthoftradesandtwicetheskill4.FourtimesthebreadthoftradesandthesameskillA) I,II,IIIB) II,IVC) ID) I,IV
Correctanswer:B
Question542:WhichofthefollowingistrueaboutReinforcementLearning
A) ItisasupervisedlearningtechniqueB) It'sgoalistominimizesomepredefinedrewardC) Withregardtotrading,DailyReturnsisagoodexampleofa
reward.D) Withregardtotrading,currentposition(long/short)inastockisa
goodexampleofareward.
Correctanswer:C
Question543:AccordingtoGrinold’sFundamentalLaw,theinformationratioiscomputedasaperformancemetricthatmeasures:
A) aportfoliomanager'stradingopportunitiesB) aportfoliomanager'squantitativeskillC) aportfolio'sreturnsthatexceedmarketperformanceD) aportfolio'scorrelationofforecaststoreturns
Correctanswer:C
Question544:HowdoestheweakformoftheEfficientMarketHypothesis(EMH)differfromthestrongformoftheEMH?
A) Inweakform,bothhistoricalandpublicinformationcannotpredictfutureprices;instrongform,onlyprivateinformationcangiveafinancialadvantage.
B) Inweakform,onlyhistoricalinformationcannotpredictfutureprices;instrongform,noinformation(historical,public,orprivate)cangiveafinancialadvantage.
C) Inweakform,allinformation(historical,public,orprivate)canpredictfutureprices;instrongform,onlyhistoricalinformationcangiveafinancialadvantage.
D) Inweakform,noinformation(historical,public,orprivate)canpredictfutureprices;instrongformallinformation(historical,public,orprivate)cangiveafinancialadvantage.
Correctanswer:B
Question545:AccordingtoPortfolioOptimization,whichofthefollowingisanacceptableportfolioweightingtoreduceriskgiventhreestocks,ABC,PQR,XYZ,andthefollowingfacts:1.ABC,PQR,XYZeachhasareturnof12%2.ABCandXYZhaveacorrelationof-0.93.PQRandXYZhaveacorrelationof0.94.Theexpectedportfolioreturnis12%
A) ABC:33.3%;PQR:33.3%;XYZ:33.3%B) ABC:25%;PQR:25%;XYZ:50%C) ABC:25%;PQR:50%;XYZ:25%D) ABC:50%;PQR:25%;XYZ:25%
Correctanswer:D
Question546:Giventhefollowinginformationaboutidenticallyperformingportfolios:1.PortfolioAperformsnotradeswithinthetimeframe2.PortfolioBperforms2tradeswithinthetimeframe3.PortfolioCperforms100tradeswithinthetimeframeWhichportfoliomanagerhasthegreatestskillaccordingtoGrinold’sFundamentalLawofActivePortfolioManagement?
A) AB) BC) CD) Alloftheabove
Correctanswer:A
Question547:Assuminga$0commission,atwhatpricewillthestockneedtobeexercisedandsoldatforthebuyerofthecalloptionof100sharestobreakeven.Thestrikepriceisat$123andtheoptionpriceis$2.00ashare.
A) 125B) 121C) 143D) 127
Correctanswer:A
Question548:WhichofthefollowingstatementsisCORRECTaboutmodel-freereinforcementlearningapproacheslikeQ-learning?
A) Theyrequireallstatesandtransitionstobefullydefined.B) TheyDONOTrequireallstatesandtransitionstobefullydefined.C) Theyrequireadditionaldatastructurestostoretransitionsand
rewards.D) TheyDONOTtakeintoaccountfuturerewards.
Correctanswer:B
Question549:Acollateralizeddebtobligation(CDO)aresecuritiesthatmaybecomposedofadiversesetofassets.Specifically,inTheBigShort,CDOsthatcausedthefinancialcrisiswerecomposedofwhatasset?
A) longtermcarloansB) riskycorporatebondsC) lowratedmortgage-backedsecuritiesD) highinterestcreditcarloans
Correctanswer:C
Question550:WhatmarketdoesMichaelBurrycreatethatallowshimtobetagainstmarket-basedmortgagebackedsecurities?
A) MortgageMarketB) ForeclosureMarketC) CreditDefaultSwapMarketD) CreditCardDebtMarket
Correctanswer:C
Question551:WhichofthefollowingisFALSEaboutReinforcementLearning(RL)?A) RLaimstofindthebestpolicytomaximizeyourreward.B) HoldingLONGorHoldingSHORTareconsideredas“Actions”.C) DailyReturncanbeconsideredeitherasa“Reward”orasa“State”.D) RLdescribesaproblem,notasolution.
Correctanswer:B
Question552:Aninvestor’ssummarymeasureofskillismeasuredby:
A) SQRT(alpha)*STDEV(alpha)B) MEAN(alpha)/STDEV(alpha)C) MEAN(alpha)/(1-STDEV(alpha))D) STDEV(alpha)*SQRT(alpha)
Correctanswer:B
Question553:Considertwoscenariosincoinflipcasinoexperiment:1)1000dollarsonsinglebet.2)10dollarseachon100bets.Scenario1has________return,_______standarddeviation,________sharperatiowhencomparedtoScenario2
A) lower,equal,lowerB) equal,higher,lowerC) higher,equal,higherD) equal,lower,lower
Correctanswer:B
Question554:Whatisthetermforthecorrelationbetweenafundmanager'sforecastedreturnandthefund'sactualreturn?
A) InformationRatioB) InformationCoefficientC) BreadthD) SharpeRatio
Correctanswer:B
Question555:InwhatscenariocanReinforcementlearningNOTbeapplied?
A) learningtocontrolamobilerobotB) learningtoplayboardgamesC) learningtooptimizeoperationsinfactoriesD) learningtoflyanairplane
Correctanswer:D
Question556:GiventheEfficientFrontierofaportfolio,howcanyoufindtheallocationforthemaximumSharpeRatioportfolio?
A) Drawatangentlinefromthemaximumreturnvalueonthecurvetotheyaxis
B) ChoosethepointonthecurvewithlowestriskC) DrawatangentlinefromtheorigintotheefficientfrontierD) Notenoughinformation
Correctanswer:C
Question557:WhichofthefollowingisnotaformoftheEfficientMarketHypothesis?
A) WeakB) Semi-WeakC) StrongD) Semi-Strong
Correctanswer:B
Question558:InvestorAandInvestorBhavethesamelevelofskillwithregardstoinvestinginthemarket.AccordingtoGrinold'sFundamentalLaw,whatisthebestwayforInvestorAtoimprovehis/herperformanceoverthatofInvestorB?
A) Increasetheamountoftimespentresearchingthemarketbeforemakingtrades
B) IncreasethetotalamountofmoneyinvestedintheirportfolioC) IncreasethetotalnumberofpositionsintheirportfolioD) OnlyinvestintheS&P500
Correctanswer:C
Question559:WhichformoftheEfficientMarketsHypothesisimpliesthatsomeformoffundamentalanalysiswillbeabletoreliablyproduceexcessreturns?
A) WeakB) Semi-strongC) StrongD) Both(B)and(C)
Correctanswer:A
Question560:ThekeyinstrumentoftheshortsellinginTheBigShortwascollaterizeddebtobligations.BurryrealizedthatthehousingmarketwasovervaluedbecauseCDOswererated_____despitebeingcomprisedof__________.
A) Triple-A,onlylowriskCDOsB) Triple-A,lowestratedtiersofmortgage-backedsecuritiesC) Double-S,lowestratedtiersofmortgage-backedsecuritiesD) Double-S,onlylowriskCDOs
Correctanswer:B
Question561:______isthatriskundertakenbyexposuretoanyassetintheassetclass.A) SpecificriskB) SystematicriskC) BusinessriskD) Nocorrectanswer
Correctanswer:B
Question562:Whatratioisthebasisforrefutingthesemi-strongEMH?
A) (Earnings/Price)RatioB) (Price/SMA)RatioC) (SMA/Price)RatioD) (Price/Earnings)Ratio
Correctanswer:D
Question563:Whichofthefollowingstatementsviolatethesemi-strongformoftheefficientmarkethypothesis?
A) ACEOofacompanybuysalargenumberofstocksofthecompanyjustbeforeanearningscallofthatcompanyandendsupwithalargeprofit.
B) Janecarefullychoosesaportfolioofstocksandholdstheportfolioforayear.JohnbuysS&P500ETFandholdsitforayear.Atyearend,JanemakesmoreprofitthanJohn.
C) Atradingfirmfiguresoutthatthedailyreturnsofastockmultipliedbytherelativestrengthindexofthatstockgivesanindicationofpricemovementofthatstockwithhighprobability.
D) AhedgefundmanagertalkstoacompanycalledLeaking��I�n�f�o�r�m�a�t�i�o�n�s��I�n�c�.��s��e�x�e�c�u�t�i�v�e��a�t��a��b�a�r�,��a�n�d��l�e�a�r�n�s��t�h�a�t��t�h�e��c�o�m�p�a�n�y��i�s��a�b�o�u�t��t�o��m�a�k�e��a��p�u�b�l�i�c��a�n�n�o�u�n�c�e�m�e�n�t��i�n��t�w�o��d�a�y�s��a�b�o�u�t��a��h�i�g�h�l�y��c�l�a�s�s�i�f�i�e�d��r�e�s�e�a�r�c�h��p�r�o�j�e�c�t��t
Correctanswer:C
Question564:Whichoftheseisthedifferencebetweenmodel-basedandmodel-freereinforcementlearningalgorithms?
A) Model-basedRLisfaster.B) Model-freeRLismoreaccurate.C) Model-basedRLalgorithmstryandestimatethedynamicsmodel
T.D) Model-freealgorithmsonlyworkwithdiscountedrewards.
Correctanswer:C
Question565:Howshouldyoutradeastockwhenitsmovingaveragereachestheupperbollingerband?
A) SellB) BuyC) HoldD) Long
Correctanswer:A
Question566:Reinforcementalgorithmssolvewhichofthefollowingproblem
A) LinearRegressionB) MarkovDecisionProblemC) SupervisedRegressionD) KNN
Correctanswer:B
Question567:WhichoftheassumptionsaretrueforEfficientMarketHypothesis(EMH)?I.Therearelargenumberofinvestors,andnewinformationarrivesrandomly.II.Investorsusuallyreactquicklytonewinformation.III.Accountinginformationaccuratelyportrayacompany'seconomicsituation.IV.Eventsoccurrandomlytoaffectthemarket.
A) I,II,III,IVB) I,II,IIIonlyC) I,II,IVonlyD) I,III,IVonly
Correctanswer:D
Question568:TypeIandTypeIIdifferences1.Type1-FalsePositive2.Type2-FalseNegative3.Type1-FalseNegative4.Type2-FalsePositve
A) 1&2arecorrectB) 1&4arecorrectC) 2&3arecorrectD) 3&4arecorrect
Correctanswer:A
Question569:IstherealimitonthenumberofiterationsoverQlearningtrainingdatawhereperformancestopsimproving?
A) No,continuingtotrainwillyieldbetterperformanceB) Yes,thereisaconvergencepointatwhichperformancewillno
longerimproveC) Yes,thelimitisdeterminedbymachineperformanceD) Notenoughinformationprovidedtodeterminethelimit
Correctanswer:B
Question570:WhichofthefollowingisNOTtrueaboutMBS's(mortgagebackedsecurities)?
A) MBS'sarecommonlyusedtoredirecttheinterestandprincipalpaymentsofmortgagestoshareholders.
B) TheMBSistradedOTC(overthecounter)asinsuranceagainstnon-paymentofdebt.
C) MBS'sconsistofmultiplepoolsofsecurities,knownastranches.D) EachpartoftheMBShasadifferentcreditrating,dependenton
theriskofrepayment.
Correctanswer:B
Question571:Whichofthese3,areessentialcomponentsareinforcementlearningalgorithmrequirestofunction?A) Rewardfunction,action,deeplearningB) Rewardfunction,states,regressionC) Rewardfunction,agent,actionD) States,agent,naturallanguageprocessing
Correctanswer:C
Question572:IfyouweregivenachartwiththepriceofastockandthenaskedtoaddBollingerBands,thecorrectresponsewouldbeto:
A) plotlinestwostandarddeviationsaboveandbelowthesimplemovingaverage
B) plotthesimplemovingaverageforthelast3days,andthesimplemovingaverageforthelast30days
C) plotlinestwostandarddeviationsaboveandbelowthestock'smomentum
D) plotahorizontallinetwostandarddeviationsabovetheaveragepriceforthedurationdisplayedinthechart,andanotherlinetwostandarddeviationsbelow
Correctanswer:A
Question573:Themaincauseof2007housingcrashwasthatbankswereselling____CDO'sconsistingof____subprimeloans
A) large,unstableB) large,expensiveC) unstable,largeD) unstable,expensive
Correctanswer:A
Question574:Accordingtothefundamentallawofactiveportfoliomanagement,whichofthefollowinggeneratesahigherSharperatio:
A) LoweralphaB) HigheralphaC) ConstantalphaD) Swimingnaked
Correctanswer:B
Question575:Ifwecombineseveraltechnicalindicatorstoconstructastrongerpredictivemodel,____________________.
A) ourtradinghorizontendstolongandthemoreindicatorsthelongerthetradinghorizon
B) wewillonlygetaworsepredictivesystem,asdifferentindicatorscangiveoppositetradingsignals
C) thismodelshouldgeneratesbettertradingsignalsthanamodelofonlyonetechnicalindicator
D) ithastobetheweakformoftheEfficientMarketHypothesisforourmodeltowork
Correctanswer:C
Question576:ConsideringtwodifferentstocksAandB.StockAhasaBetaof1.0whileStockBhasaBetaof10.0.BothStocksAandBreturnanAlphaof1%.Basedonpurelytechnicalanalysis,arethetwoequallyattractive?IsoneStockmoreattractivethantheother?
A) Aismoreattractive.B) Bismoreattractive.C) BothareequallyattractiveD) Neitherisattractive.
Correctanswer:A
Question577:WhatistheformulaforInformationRatiointermsofα(alpha)and/orβ(beta)?
A) stdev(α(t))/mean(β(t))B) mean(α(t))/stdev(β(t))C) stdev(α(t))/mean(α(t))D) mean(α(t))/stdev(α(t))
Correctanswer:D
Question578:Whataredecisionvariablesinanportfoliooptimizationproblem?
A) historicalpricedataoftheassetsB) portfoliomin/maxconditionsforeachassetC) totalreturnsandriskD) portionofportfoliodevotedtoeachasset
Correctanswer:D
Question579:Whatisthegoalofportfoliooptimization?
A) todesignthecombinationofassetswithgoalofonlyreducingvolatility
B) todesignthecombinationofassetsthatproducesthelowestriskforaspecifiedtargetreturn
C) todesignthecombinationofassetsthatproducesthelowestriskirrespectiveofreturn
D) todesignthecombinationofassetsthatmaximizesreturns
Correctanswer:B
Question580:Whilerunningatradingcompany,youareconsideringchangingyouroperationstoimprovetheInformationRatio(IR)foryourtrades.WhichoperationschangebelowisthebestoptiontooptimizeIR?
A) Make1/16thasmanytrades,buttrade5timesasskillfully.B) Make16timesasmanytrades,buttrade1/5thasskillfully.C) Make10000timesasmanytrades,buttrade1/1000thas
skillfully.D) Nochange:Makethesamenumberoftradesatthesameskill
level.
Correctanswer:A
Question581:Generally,aportfolioconsistingof2stockswillhavethelowestvolatilityifthecovariancebetweenthe2stocksis:A) PositiveB) ZeroC) NegativeD) Undefined
Correctanswer:C
Question582:Ifthesemi-strongformoftheefficientmarkethypothesisholdstrue,whichofthefollowingscenariosarenotalreadyreflectedinthecurrentstockpriceofXYZCorporation?
A) In2015,anauditofXYZCorporation’saccountingpracticesrevealedfraudulentandintentionallydeceptiveactivity.
B) Onesecondprior,multipleratingsagenciesreversedtheirpreviousdowngradeofXYZCorporation.
C) SusanreviewedinternallabanalysisofXYZCorporation’ssteel,andrealizedthatthreemonthsofproductsaredefective.
D) Noneoftheabove.
Correctanswer:C
Question583:Whichofthefollowingstatementistrueaboutreinforcementlearning.
A) DailyReturnisapotentialrewardthatwewouldusetoinformouralgorithmforlearninghowtotrade.
B) DailyReturnisadescriptionofourstatethatweoughttoconsiderbeforewemakeatrade.
C) HoldingLongisadescriptionofourstatethatweoughttoconsiderbeforewemakeatrade.
D) BothAandB
Correctanswer:D
Question584:Choosethecorrectoptionfrombelow,thatissortedcorrectlyfrommostpublicinformationtoleastpublicinformation.
A) Price/volume,Exogenous,Companyinsiders,FundamentalB) Price/volume,Fundamental,Exogenous,CompanyinsidersC) Exogenous,Price/volume,Companyinsiders,FundamentalD) Companyinsiders,Exogenous,Price/volume,Fundamental
Correctanswer:B
Question585:WhichofthefollowingtermsisNOTaconceptofMarkovdecisionprocess:
A) stateB) rewardC) behaviorD) action
Correctanswer:C
Question586:WhichofthefollowingdidNOThappeninthemovie"TheBigShort"?
A) MarkBauminterruptedalivepresentationintheAmericanSecuritizationForuminLasVegas.
B) MichaelBurrysentane-mailtorestrictinvestors'withdrawalsfromScionCapital.
C) MarkBaumwasconvincedtoinvestintoCDOsafterhispleasantmeetingwiththeCDOmanager.
D) BrownfieldFundcollaboratedwithBenRickerttoshortAAtranches.
Correctanswer:C
Question587:Grinold'sFundamentalLawofactiveportfoliomanagementattemptstodrawametricforafundmanager'sperformancebasedontheskillofthefundmanagerandnumberoftradingopportunities.Accordingtothefundamentallaw,whichofthefollowingtermsisbestusedtodescribetheperformancemetricofafundmanager?
A) InformationCoefficientB) InformationRatioC) SharpeRatioD) BuffettIndex
Correctanswer:B
Question588:Whichhasthegreatesteffectontheinformationratio?
A) DoublinginformationcoefficientB) DoublingbreadthC) HalvinginformationcoefficientD) AandC
Correctanswer:D
Question589:Reinforcementlearningmethodsarecloselyrelatedtowhatothertypeofprogramming?
A) StaticProgrammingB) DynamicProgrammingC) ThermodynamicProgrammingD) FluidProgramming
Correctanswer:C
Question590:Whichoneofthefollowingisnotcorrectregardingawritecalloption?
A) Themaxprofitisthepremium.B) Themaxlossisnotbounded.C) Youwillbreakevenifthespotpriceatexpirationisthestrike
price.D) Itispossibletomakeaprofitifthespotpriceatexpirationis
abovethestrikeprice.
Correctanswer:C
Question591:Ifatraderincreaseshisnumberoftradesfrom100to400,howmuchwillhisInformationRatioincreaseby?A) 1timeB) 2timesC) 4timesD) 8times
Correctanswer:B
Question592:WhichofthefollowingisNOTtrueabouttheEfficientMarketHypothesis?
A) Iftheweakformiscorrect,technicalanalysisandfundamentalanalysiscannotsuccessfullypredictfutureprices.
B) Ifthesemi-strongformiscorrect,technicalanalysisandfundamentalanalysiscannotsuccessfullypredictfutureprices.
C) Ifthestrongformiscorrect,technicalanalysisandfundamentalanalysiscannotsuccessfullypredictfutureprices.
D) Hedgefundfeesmayincentivizebettermarketefficiency.
Correctanswer:A
Question593:Listout1-2outcomeofmarriedput?
A) ifstockgoesup,welosethepossibleprofitfrompremiumB) ifstockgoesdown,thelossduringthedownturnwillbecappedC) ifstockgoesup,thelossduringthedownturnwillbecappedD) ifstockgoesdown,welosethepossibleprofitfrompremiumwe
paid
Correctanswer:A
Question594:WhichoneisNOTaninformationgainapproachtodeterminethebestfeatureinbuildingdecisiontree?
A) EntropyB) SharpeRatioC) CorrelationD) GiniIndex
Correctanswer:B
Question595:Hereisahistoryofthe2mostrecentinteractionsbetweentheenvironmentandanagent.Supposethatpriortoseeinganyhistory,theagenthadarbitrarilyassumedabaselineprobabilityof1/2fortransitioningtostateS’=3fromstateS=5,andaprobabilityof1/2fortransitioningtostateS’=7fromstateS=4.Whatwouldbetheupdated(correct)probabilityfortransitioningtostateS’=7fromstateS=4afterthisnewinformationshownbelowistakenintoaccount?Assumeadiscountfactorof1....Environment:Agentisinstate5.Thereare2possibleactions.Agent:Takesaction2Environment:Agentreceivedareinforcementof+20units.Agentisnowinstate4.Thereis1possibleaction.Agent:Takesaction1Environment:Agentreceivedareinforcementof+100units.Agentisnowinstate7.
A) 1/5B) 1/7C) 1D) 1/2
Correctanswer:C
Question596:Whichofthefollowingstatementsis"False"iftheStrongversionoftheEfficientMarketHypothesisistrue:
A) Itisimpossibletomakemoneybyholdingaportfoliootherthanthemarketportfolio.
B) Pricesreflectallinformationpublicandprivate.C) Investorscanholdaportfolioofstocksthatperformsbetterthan
themarketportfolio.D) Eveninsiderinformationcan’tbeleveragedtoprofitinthe
market.
Correctanswer:C
Question597:TechnicalAnalysislooksatwhichfactors
A) HistoricalPriceandvolumeB) DividendsandearningsC) BookvalueandcashflowD) airspeedvelocityofanunladenswallo
Correctanswer:A
Question598:AssumeBuffet'salgorithmis3timesassmartasSimon'salgorithm,andSimontrades4timesasfrequentlyasBuffetdoes.WhichofthefollowingsentencesiscorrectbasedontheFundamentalLaw?
A) Buffet'sinformationratioisthreequartersofSimon'sB) Simon'sinformationratiois1.5timesofBuffet'sC) IfSimontrades8timesasfrequentlyasBuffetdoes,Simon's
informationratiowillbecomelargerthanBuffet'sD) Buffet'sinformationratiois1.5timesofSimon's
Correctanswer:D
Question599:PleaseselectthestatementthatisNOTTRUEabouttheEfficientMarketsHypothesis.
A) Thereare3formsoftheEMH(discussedinclass):Weak,Semi-Strong,Strong
B) Semi-StrongEMHstatesthatpricesreflectallinformationpublicandprivate
C) StrongEMHstatesthatpricesreflectallinformationpublicandprivate
D) WeakEMHstatesthatyoucannotlearnanynewinformationaboutfuturepricesfromTechnicalAnalysis
Correctanswer:B
Question600:In*TheBigShort*,whenDr.MichaelBurry(ChristianBale)realizesthemortgagebondmarketisfraudulent,whatactiondoeshetake?
A) Herestrictshisinvestors'abilitytowithdrawtheirfundsB) HeconvincesLehmanBrothersandotherbankstofollowhis
strategyC) HedissolvesthefundD) HealertstheSEC
Correctanswer:A
Question601:Thefollowingisthepriceforastock08-07142.0008-08142.0008-09141.0008-10140.0008-11140.5008-12140.5008-13141.0008-14143.0008-15145.0008-16141.00PleasecalculatetheSMAofthestockat08-12withalookbackwindowof4A) 140B) 140.05C) 141D) 141.05
Correctanswer:B
Question602:Usingthesemi-strongversionoftheEfficientMarketHypothesis,whichofthefollowingformsofanalysiscanbesuccessful?
A) FundamentalAnalysisB) TechnicalAnalysisC) AandBD) Noneoftheabove.
Correctanswer:D
Question603:WhichoftheseisareasonthatsupportstheStrongformoftheEfficientMarketHypothesis?
A) MoneymanagerscannotconsistentlyoutperformB) TradingontechnicalindicatorsisnotconsistentlyprofitableC) PricesreacttonewsslowlyD) Pricesdonotreacttonewinformation
Correctanswer:A
Question604:Whichofthefollowingshouldnotbeconsideredaspartofthestatedescriptionwhenmappingtradingdecisionstoareinforcementlearningproblem?
A) SharesHeldB) BollingerValueC) SimpleMovingAverageD) ReturnfromTrade
Correctanswer:D
Question605:YouandDr.Balcharebothstocktraders.Hehas100timeshigherinformationratiothanyouandmakes10,000timesasmanytradesasyou.Whichoneofyouhashigherskill(informationcoefficient)whenitcomestotradingstocks?
A) Dr.Balchhasmoreskill.B) Youhavemoreskill.C) Bothofyourskillsareequal.D) Can’tdeterminewithgiveninformation.
Correctanswer:C
Question606:IfweakformoftheEfficientMarketHypothesisistrue,whichofthebelowpersonmayprofitfromarbitrage?
A) AfundmanagerdoingtechnicalanalysisB) AninvestorwithfundamentalestimatesofintrinsicvalueC) Both
Correctanswer:B
Question607:WhichofthefollowingisnottrueaboutQ-learning?
A) TheQ-valueencodesthebestpossiblevalueofastateB) EitherastateoratransitionfunctionneedstobefullydefinedC) TheQ-valueencodesthebestpossiblepolicyintermsofthe
actionthatshouldbetakenD) Wedonotneedtostorearewardsdatastructure
Correctanswer:B
Question608:ThetacticthatMichaelBurryusedtofreezehisinvestors'moneyinhisfund?
A) Side-PocketingB) FreezeFundingC) StopTransactionD) Option4
Correctanswer:A
Question609:Doesthesemi-strongEHMhypothesisstatesthatthemarketportfolioisoptimal?
A) Yes-Asthepriceadjustquicklytoallpubliclyavailableinformation
B) Yes-Becauseinsiderinformationdon'tgivesanadvantageC) No-AsthepriceadjustquicklytoallpubliclyavailableinformationD) No-Becauseinsiderinformationdon'tgivesanadvantage
Correctanswer:A
Question610:WhichofthefollowingisfalseaboutInformationRatio(IR)
A) Itevaluatesrisk-adjustedrateofreturnoninvestmentportfoliosB) ItmeasurestherateofreturnofaportfolioagainstabenchmarkC) Itprovidesanindicationoftheconsistencyofaportfolio's
performanceD) Itisdirectlyproportionaltotheskillofportfoliomanager
Correctanswer:A
Question611:Fundamentalanalysisonlyconsidershistoricalprice,volume,whiletechnicalanalysisconsidersotherfactorslikeearnings,dividends,cashflow,andbookvalue.A) TrueB) False
Correctanswer:B
Question612:Dr.MichaelBurrydemonstratedthatthemortgage-backedsecuritiesmarketisnotefficient.WhichformoftheEMHdidheinvalidatebyusingfundamentalanalysistobeatthebanks?
A) TheweakformB) Thesemi-strongformC) ThestrongformD) BandC
Correctanswer:D
Question613:WhatistheprimaryadvantageofusingtheDynaarchitecture?
A) SimulatingexperiencesavoidsthediscretizationstepinQ-learning.
B) Simulatingexperiencesallowsustoefficientlyfindtheoptimaldiscountfactor.
C) Simulatingexperiencesislessexpensivethaninteractingwiththerealworld.
D) SimulatingexperienceschangesQ-learningfromamodel-basedapproachtoamodel-freeapproach.
Correctanswer:C
Question614:WhatisthethedefinitionoftheInformationRatiofortheportfolio,whichreturnispresentedasfollowing:r(t)=beta*r_m(t)+alpha(t),wherer_m(t)isamarketreturn.Forsimplicityassumethatthedailyreturnoftheportfolioisdaily_ret(t).
A) IR=mean(alpha(t))/std(alpha(t))B) IR=mean(daily_ret(t))/std(daily_ret(t))C) IR=alpha(t)D) IRisanumberoftradingopportunitiesperyear
Correctanswer:A
Question615:InthecontextofReinforcementlearningasappliedtotrading,whatpartoftheformalMarkovDecisionProblemcorrespondstotheMarket.
A) ThemarketisrepresentedbystateSB) ThemarketisrepresentedbyanactionAC) ThemarketrepresentstherewardfunctionR[s,a]D) ThemarketrepresentsthetransitionfunctionT[s,a,s']
Correctanswer:D
Question616:GivenatechstockandagoldETF,Iwouldexpectthecovariancebetweenthesetobe:
A) positiveB) negativeC) zeroD) efficient
Correctanswer:B
Question617:AssumeSimonandBuffetaretwohedgefundmanagers.Simon'sInformationPerformanceistwicebetterthanBuffet.BasedonGrinold'sFundamentalLaw,ChoosetheonlystatementthatisTRUEbelow:
A) SimonhasanalgorithmruntwicefasterthanBuffetB) SimonhastwiceamountofbreaththanBuffetC) SimonmayhavebetterskillbuttradedlessthanBuffetD) SimonmighttradelessandworseskillthanBuffet
Correctanswer:C
Question618:Forthetransitionfunction,TdefinedasT[s,a,s’]inaMarkovdecisionproblem,whichofthefollowingisnottrue?
A) s’isthestatewewillendupinifwetakeactionaonstatesB) thesumofallprobabilitieswithwhichwecouldendupin
differentstateswouldbeconstantC) sisthestatewewillendupinifwetakeactionaonstates’D) aisthesetofactionsthatcanbetaken
Correctanswer:C
Question619:WhichitemcouldNOTbedescriptionofapossiblestatewhenmappingtradingtothereinforcementlearningmodel?
A) BollingerbandvalueB) HoldingstocklongC) SellingD) ClosingPrice
Correctanswer:C
Question620:In*TheBigShort*,howdidDr.MichaelBurry(ChristianBale)handlethefactthatnofinancialinstrumentsexistedtoshortmortgagebonds?
A) HeignoredthehousingbubbleandwentbacktotradingstocksB) HishedgefundpurchasedrealestateC) Heconvincedbankstomaketheinstruments,thensellthemto
himD) HeinformedtheSECoftheimpendingcrisis
Correctanswer:C
Question621:Grinold'sFundamentalLawstates:A) Performance=Breadthx√SkillB) Performance=SkillxBreadthC) Performance=√(SkillxBreadth)D) Performance=Skillx√Breadth
Correctanswer:D
Question622:AsoftwaredeveloperworkingforahedgefundistaskedwithcreatingatooltopredictfuturestockpricesusingonlyhistoricalP/Eratiodata.Accordingtothesemi-strongformoftheEfficientMarketsHypothesis,thistoolhasagoodchanceofsuccessfullypredictingfuturestockprices.
A) TrueB) False
Correctanswer:B
Question623:InformationRatioisproportionalto___breadth
A) linearB) squarerootC) squaredD) notproportional
Correctanswer:B
Question624:WhichoneofthefollowingisNOTanaction,whenweviewtradingasanRLproblem?
A) BuyB) SellC) HoldinglongD) Hold
Correctanswer:C
Question625:Reinforcementlearningaddressesthequestionofhowanautonomousagentthatsensesandactsinitsenvironmentcanlearntochooseoptimalactionstoachieveitsgoals.
A) TrueB) False
Correctanswer:A
Question626:90%ofallofBerkshireHathaway'sstocksareinhowmanystocks?
A) 3B) 115C) 12D) 2310
Correctanswer:C
Question627:Whatformoftheefficientmarkethypothesisstatesthatitisimpossiblehousefundamentalanalysistochoosestocksthatwillbeatthemarket'sreturns?
A) weakB) semi-strongC) strongD) semi-weak
Correctanswer:B
Question628:InthemovieTheBigShortwhathappensattheendasareactiontothefinancialmeltdown?
A) Hundredsofbankersandratingsagenciesexecutiveswenttojail.B) TheSECwascompletelyoverhauled.C) TheCongressbrokeupbigbanksandthemortgageand
derivativesindustrieswereregulated.D) Onlyoneperson,KareemSerageldinfromCreditSuissewassent
tojail.
Correctanswer:D
Question629:Whichoffollowingisnotreinforcementalgorithm?
A) NeunralNetworkB) Q-learningC) DeepQNetworkD) Sarsa
Correctanswer:A
Question630:Co-varianceofstockST2w.r.tstockST1=0.95Co-varianceofstockST3w.r.tstockST1=-0.95Co-varianceofstockST4w.r.tstockST1=-0.5Portfoliooftwovolatilestockshavingequalweight,resultinginlowestvolatilitywithouthamperingreturnswouldbe
A) ST1andST2B) ST1andST3C) ST1andST4D) Noneoftheabove
Correctanswer:B
Question631:Giventwotradestrategieswiththesameexpectedreturn(reward),tradestrategyAinvolvesasingletradewithaSharpeRatioof0.15,whiletradestrategyBinvolves144tradesoveraone-yearperiod.WhatistheSharpeRatiooftradestrategyB?A) 55.8B) 1.8C) 0.06D) 2.87
Correctanswer:B
Question632:InJaredBennett's(RyanGosling)pitchoftheCreditDefaultSwaptoMarkBaum(SteveCarell)andtheFrontPointpartnersin*TheBigShort*,whatdidthefallingJengatowerrepresent?
A) TheworthlessnessoftheCapitalAssetsPricingModelB) ThecollapseofAmerica'sentirehousingmarketC) AsharpdecreaseinthepriceofCreditDefaultSwapsD) ThesmallsalariesofCDOmanagers
Correctanswer:B
Question633:Inonescene,RyanGoslingpullsblocksfromaJengatower.Whatconcepthe'stryingtoexplain?
A) Increasesininterestrateswilltriggerstockmarketcrisis.B) Theglobaleconomyisontheedgeofcollapse.C) Thetop-ratedsecuritiesatthetopendofthetowercannotstand
whenthelower-ratedsecuritiesfailandareremovedfromitsbase.
D) Theriskofbettingagainsthousingmarketisveryhigh.
Correctanswer:C
Question634:AssumingthattheInformationCoefficientisinverselyrelatedtoBreadth.ThenselectthechoicewhichwillhavethemaximumInformationRatio:
A) InformationCoefficient=4*BreadthB) Breadth=4*InformationCoefficientC) InformationCoefficient=BreadthD) InformationRatiohasnorelationwithInformationCoefficient
and/orBreadth
Correctanswer:A
Question635:AssumethestrongformoftheEfficientMarketHypothesisistrue.Ifinformationthatadrugcompany'smuch-hypedfutureproducthasfailedclinicaltrialsispubliclyannounced,whatwillhappentothestockpriceofthecompany?
A) ThepricewilldropasthepricereflectsthenewinformationB) ThepricewillriseasinvestorsdecidetoshortthestockC) ThepricewilldropasinvestorsdecidetoshortthestockD) Thepricewillstaythesameasthepricealreadyreflectedthat
information
Correctanswer:D
Question636:HowistheshortinTheBigShortdifferentfromhowwehaveappliedshortingintheclass?
A) Thetradingfirmsinthemoviehadmorecashandcouldleveragetheirshortedstockhigherthanindividualinvestors
B) TheshortdidnotinvolveborrowingandsellinganactualsecurityC) Thehedgefundswereabletoshortmorethan1000sharesata
timeD) Theshortwasbasedontechnicalindicatorsacrossmultiplebig
bankstocks
Correctanswer:B
Question637:Twofundmanagers,GordonGekkoandJordanBelfortwanttomanageyourretirementportfolio.BelfortboaststhathehasasystemthatwillgivehimalittleinformationabouteverystockintheRussell3000togetanimpressivereturnoverthemarket.Gekko,ontheotherhand,claimsheonlylooksattheDowJonesIndustrialAverage,with30stocks,tomatchBelfort.Howmuchmoreskill,i.e.informationcoefficientdoesGekkohavecomparedtoBelfort?
A) 1000timesB) SameC) 9timesD) 10times
Correctanswer:D
Question638:WhichofthefollowingisNOToneoftheassumptionsoftheEfficientMarketHypothesis(EMF)?
A) NewinformationarrivesrandomlyB) PricesadjustquicklyC) SmallnumberofinvestorsoperatinginthemarketforprofitD) Pricesreflectallavailableinformation
Correctanswer:C
Question639:WhichofthefollowingstatementsaboutBollingerBands(R)isFALSE?
A) ThebandsaredrawnaboveandbelowthesimplemovingaverageB) Thewidthofthebandsdoesnotdependonthestock'svolatilityC) BollingerBandscanbeusedwhenimplementingameanreversion
tradingstrategyD) Thewidthofthebandsisdeterminedusingstandarddeviation
Correctanswer:B
Question640:AccordingtoGrinold&Kahn’s"FundamentalLawofActiveManagement",Ifthefundmanagertriestoimprovetheperformanceofthefund,whatisthebetterchoicethathe/shecantake?
A) findmorealphasofstocksanddiversifytheportfoliotoincreasethetradingopportunities.
B) increaseitsleverageofthefundC) investmoremoneyonthesameportfolio
Correctanswer:A
Question641:In2007,WarrenBuffettfamouslymadeaonemilliondollarbetagainstahedgefundcompanythatanS&P500indexfundwouldoutperformacollectionoftheiractivelymanagedhedgefundsoverthefollowingdecade.Hewonthisbetin2017andindoingso,showedhowdifficultitcanbeforeventhemostexperiencedinvestorstooutperformmarkets.Whatideadoestheresultofthisbetseemtoledcredenceto?A) Gambler'sfallacyB) EfficientMarketsHypothesis(EMH)C) GameTheoryD) CapitalAssetPricingModel(CAPM)
Correctanswer:B
Question642:Whatisthemeaningofthediscountedrewardinthecontextofreinforcementlearning?
A) Thebelievedvalueofafuturerewardbutinpresenttime.B) Thefuturerewardsvaluewearesuretogainovertime.C) Theimmediaterewardminusaconstantvalue.D) Theimmediaterewardplusaconstantvalue.
Correctanswer:A
Question643:TheFundamentalLawconsistsofthefollowing:
A) PerformanceB) SkillC) BreadthD) Alloftheabove
Correctanswer:D
Question644:AccordingtotheFundamentalLaw,whichofthefollowingisNOTtrue:
A) TheinformationratioisthesharperatioofexcessreturnB) Twoequallyskilledhedgefundscanobtainthesameperformance
withdifferentbreadthsC) ItiseasiertoincreasethebreadthtogetahigherperformanceD) Itisdifficulttoincreasetheskilltogetahigherperformance
Correctanswer:B
Question645:Currently,BobandJanehaveequivalentperformancewhentradingstocks.Janeimprovesherperformancebyincreasingskill2-fold,andincreasingthebreadthofhertrading9-fold.BobwantstomatchJanebyalsoincreasinghisperformancetoequalJane'snewperformance.However,hewantstoonlyfocusonincreasinghisbreadth,notskill.BywhatfactordoesBobneedtoincreasethebreadthofhistradinginordertomatchJane'snewperformance?
A) 6B) 12C) 36D) 72
Correctanswer:C
Question646:Considerarobotmovingacrossagridtryingtooptimizeitstotaldiscountedrewardwhereeachtileinthegridiswortharewardof8.Iflambda=0.5,whatisthetotaldiscountedrewardforapathwheretherobotmovesinastraightlineacross4squares?
A) 12B) 15C) 16D) 32
Correctanswer:B
Question647:WhichtechnicalfactorsdoestheweakversionofEMHprohibit?
A) TechnicalB) FundamentalC) InsiderD) External
Correctanswer:A
Question648:AccordingtoGrinold'ssimplifiedFundamentalLawofActivePortfolioManagement,aninetimesincreaseinbreadth(numberoftrades)shouldresultinwhatchangeinperformance?
A) AthreetimesincreaseB) AthreetimesdecreaseC) ZeroChangeencounteredD) Aninetimeincrease
Correctanswer:A
Question649:Aaronisaskilledtrader;hemakes100tradesayearandgetsareturnof20%.Bobisrelativelynewtotradingandonlyhasabout1/20theskillAaronhas.AccordingtotheFundamentalLaw,howmanytradeswillBobhavetomaketoalsoachieveareturnof20%?
A) 20000B) 40000C) 400D) 2000
Correctanswer:B
Question650:Yourecentlygotastocktipfromyouruncleaboutahotnewstock,HOT.However,becauseofbadtipsthatyourunclehasgivenyouinthepast,youdecidetoinvestinoptionsinsteadofthebasicstock.AssumethatthestockpriceofHOTiscurrently$100andthatthesecontractshavenoexpirationdate.Whichofthefollowingcontractsshouldyoupurchasesothatyouwillnetexactly$100ifyouexercisetheoptionwhenHOTisexactly$110?
A) CALLcontractwithapremiumof$1.00andastrikepriceof$109B) CALLcontractwithapremiumof$1.00andastrikepriceof$108C) PUTcontractwithapremiumof$1.00andastrikepriceof$110D) PUTcontractwithapremiumof$1.00andastrikepriceof$109
Correctanswer:B
Question651:Whichcriterionisusedtoevaluateriskforagivenstock?A) simplemovingaverageB) standarddeviationofhistoricaldailyreturnsC) maximumdeviationfromthesimplemovingaverageD) meanofhistoricaldailyreturns
Correctanswer:B
Question652:WhichanswerLEASTconformstotheEMHassumptions?
A) AstockthatistradedbymanyinvestorsB) AstockthatistradedbyveryfewinvestorsC) Astockthatispartofamajorindex(e.g.S&P500)D) Astockthatistradedonnon-U.S.market(e.g.Nikkei)
Correctanswer:B
Question653:WeakversionofEfficientMarketHypothesissaysthattradingbasedoninsider-informationcan'tbeatthemarket/produceexcessreturns.
A) TrueB) False
Correctanswer:B
Question654:ConsidercompanyXYZandinvestorAWhichofthefollowingwouldbeconsidered'skill'bytheTheFundamentalLawinregardstotheinvestorinvestinginthiscompany?
A) CompanyXYZreportsgoodearningsB) CompanyXYZreleasesanewproductthattheyclaimwillbe
popularamongconsumersC) InvestorApredictsXYZwillhaveanaboveaveragereturnonthe
yearbasedoffananalysisofitsproductsandthecorrespondingmarketfortheseproducts
D) InvestorAspendstimeresearchingcompanyXYZ
Correctanswer:C
Question655:Whichofthefollowingactsasan"insurancepolicy"toinsurethebuyeragainstmortgagedefaults?
A) Mortgage-backedsecurityB) Collateralizeddebtobligation(CDO)C) Creditdefaultswap(CDS)D) Exchange-tradedfund(ETF)
Correctanswer:C
Question656:Selling1000sharesofJPMon01/04/2008isanexampleofwhatelementinreinforcementlearning.
A) AcurrentstatesB) Agoalstates'C) AnactionD) Areward
Correctanswer:C
Question657:WhensolvingMarkovDecisionProblems(MDP)withreinforcementlearning,allofthefollowingarekeycomponentsexcept:
A) Atransitionfunction:T[s,a,s']B) Arewardfunction:R[s,a,s']C) Apolicyfunctionπ(s)D) Arewardfunction:R[s,a]
Correctanswer:B
Question658:InthemovieTheBigShort,whydidnottheratingagenciesdowngradethesubprimebondssincetheunderlyingloansaredefaulting?
A) Theybelievedthereisnocorrelationbetweentheunderlyingloansandthesubprimebonds
B) TheirmodeltoldthemsoC) Theyrefusedtore-ratethesameproductinashortperiodoftimeD) Theywantthebanks'money
Correctanswer:D
Question659:WhichofthefollowingisnotaformoftheEfficientMarketHypothesis?
A) Semi-WeakB) WeakC) Semi-StrongD) Strong
Correctanswer:A
Question660:Optimalportfoliosthatcomprisetheefficientfrontieroffers
A) ThehighestexpectedreturnforadefinedlevelofriskB) Thelowestriskforagivenlevelofexpectedreturn.C) AandBD) Noneoftheabove.
Correctanswer:C
Question661:TheBigShortdescribedthistechniqueassomethingusedbybanksthatwouldallowthemto"bet"ontheoutcomeofanother"bet".Thiscausedsomewhatofaloopasmoreandmore"bets"wereplacedoneachsubsequent"bet"created.Whatwasthetermusedtodescribethisphenomena?A) Mortage-backedsecurity(MBS)B) Subprimemortgagebond(SMB)C) Syntheticcollateralizeddebtobligations(CDO-Squared)D) Creditdefaultswap(CDS)
Correctanswer:C
Question662:AccordingtoGrinold&Kahn’s“FundamentalLawofactiveportfoliomanagement",Ifthefundmanagertriestoimprovetheperformanceofthefund,whatisthebetterchoicethathe/shecantake?
A) findmorealphasofstocksanddiversifytheportfoliotoincreasethetradingopportunities.
B) increaseitsleverageofthefundC) investmoremoney
Correctanswer:A
Question663:Optimalportfoliosthatcomprisetheefficientfrontieroffers:
A) Thehighestexpectedreturnforadefinedlevelofrisk.B) Thelowestriskforagivenlevelofexpectedreturn.C) AandBD) Noneoftheabove.
Correctanswer:C
Question664:Ifyouweretodrawatangentlinefromtheorigintotheefficientfrontier,whatwouldyouexpecttofindattheintersection?
A) TheportfoliowiththehighestvolatilityforalltheassetsB) TheportfoliowiththelowestvolatilityforalltheassetsC) TheportfoliowiththehighestSharperatioforalltheassetsD) Theportfoliowiththehighestreturnforalltheassets
Correctanswer:C
Question665:HarryMarkowitzintroducedwhichofthefollowing:
A) Combiningassetsthatareanti-correlatedcanresultinamuchlowerriskportfolio.
B) theefficientmarketshypothesisC) riskismeasuredasstandarddeviationofdailyreturnsD) noneoftheabove
Correctanswer:A
Question666:Supposeyouhaveatradingreinforcementlearning(RL)agent.WhichofthefollowingcanbesetaseitherastateorarewardfortheRLprocess?
A) HoldingShortB) DailyReturnC) SellD) HoldingLong
Correctanswer:B
Question667:WhatisthecapitalrequirementsforanISDAtodohighstakestrade?
A) 14,070,000,000B) 110,000C) 30,000,000D) 15,100,000,000
Correctanswer:A
Question668:WithregardstotheFundamentalLaw,whatissummarizedintheInformationCoefficient?
A) BreadthB) BetaC) SkillD) Performance
Correctanswer:C
Question669:Whichofthefollowingstatementsistrue?
A) Optimalportfolioalwaysincludesallstockswithaveryhighpositivecorrelation.
B) Agoodstrategywhilebuildingaportfolioistolookforanticorrelationinlongtermandpositivecorrelationinshorttermbetweentheindividualstocksintheportfolio.
C) Toplottheefficientfrontierforaportfolio,theray(linesegmentfromtheorigintoaspecificpointonthefrontier)withthesteepestsloperepresentsthemaximumSharperatio.
D) Theoptimizedriskyportfoliocanbefoundintheefficientfrontierbygettingthepointofthemaximumreturnpointontheefficientfrontier.
Correctanswer:C
Question670:WithEfficientMarketsHypothesis(EMH),whichformsaysthatdoingfundamentalanalysisisacceptable?
A) WeakformB) Semi-WeakformC) Semi-StrongformD) Strongform
Correctanswer:A
Question671:WhataretheformsofinformationavailablethatlaythefoundationfortheEfficientMarketHypothesis?A) PastPricesB) PublicInformationC) AllInformationincludinginsideinformationD) Alloftheabove
Correctanswer:D
Question672:TheinformationratioIRissummarizedby:
A) SkillB) BreadthC) PerformanceD) Alloftheabove
Correctanswer:C
Question673:Yourfriendappearstobetwiceasskilledatpickingstocksthanyouare,buthecanonlyaffordtoinvestin1/15thofthestocksyouhave.However,beingunemployed,hehasthetimetotradethreetimesperdaywhileyouonlyhavetimetotradeonceperday.Who'sthebetterperforminginvestor,ifany?
A) YourfriendB) YouC) EqualmatchD) Notenoughinformation
Correctanswer:B
Question674:AssumethatyousomehowhavethesameICthanBuffet.Buffetisknownforhavingonly120tradingopportunitiesperyearbutyouwanttodoubleBuffet'sIR.Howmanytradingopportunitiesdoyouneedinordertoachieveyourgoal?
A) 480B) 240C) 120000000D) 480000000
Correctanswer:A
Question675:AccordingtoGrinold’sFundamentalLaw,ifaninvestorwantstoincreasetheirperformance,anincreaseofwhichmeasureimpactstheirperformancethemost?
A) AssetsunderManagementB) SkillC) CumulativeReturnoftheirPortfolioD) Breadth
Correctanswer:B
Question676:WhatisNOTareasontoprefertradingoptionsratherthanstocks?
A) Tradingoptionsrequiresyoutopredictthestockinonedirectioninatimelymanner.
B) Tradingoptionsallowsyouto"control"moremoneyusinglessmoney.
C) Youmayloselessmoneybytradingoptionsifthestockgoestotheoppositedirectionaspredicted.
D) Tradingstocksrequiresyoutomakeamorespecificbetinarelativelyshortamountoftime.
Correctanswer:A
Question677:SupposestocksA,Bhavethesamecumulativereturnbutnegativelycorrelateddailyreturns,andourcurrentportfoliohasbeenallocatedamongthesestockstominimizerisk.ComparedtostockA,theportfoliowillhave
A) higherreturn,lowerorsameriskB) samereturn,lowerorsameriskC) higherreturn,higherriskD) samereturn,higherrisk
Correctanswer:B
Question678:WhichofthefollowingaretrueforFundamentalLawofActiveManagement:A:InformationRatioisriskadjustedrewardB:TransactioncostisaccountedinFundamentalLawC:TradingopportunitiesmustbeindependentD:InformationCoefficientisconstantandcanbeeasilycalculated
A) AandCB) BandCC) A,CandDD) Alltheabove
Correctanswer:A
Question679:WhichofthefollowingaretrueforFundamentalLawofActiveManagement:A:InformationRatioisriskadjustedrewardB:TransactioncostisaccountedinFundamentalLawC:TradingopportunitiesmustbeindependentD:InformationCoefficientisconstantandcanbeeasilycalculated
A) AandCB) BandCC) A,CandDD) Alltheabove
Correctanswer:A
Question680:WhywereCollateralizedDebtObligation(orCDOs)offeredbyinvestmentbankstickingtimebombs,asperTheBigShort?
A) CDOswereETFsfollowingthemarket.B) CDOscontainedhighqualitydiverserangeofassetsC) InvestmentbanksstartedcreatingCDOsthatincludedjustthe
lowestratedtiersofmortgage-backedsecuritiesD) InvestmentbanksstartedcreatingCDOsthatincludedbothlower
andhightierofmortgage-backsecurities.
Correctanswer:C
Question681:Whywasthenumberofmortgage-backedbondsincreasingpriortothefinancialcrisis?A) Investorswantedtobuymortgage-backedbondsbecausetheyhad
higherinterestratesthanotherbondsB) PeoplewerebuyingmorehousesthanusualC) TherealestatemarketwasconspiringtodeceivebanksD) Peoplewerenotpayingofftheirhomemortgages
Correctanswer:A
Question682:Whichonedoesn'tmakereinforcementlearningdifferentfromothermachinelearningparadigms?
A) NolabelsindatasetB) UtilizerewardsignalC) Agent'sactionsaffectthesubsequentdataitreceivesD) Timereallymatters
Correctanswer:A
Question683:Howmanysharesoftheunderlyingstockdoesanoptioncontractcontrol?
A) lessthan100B) 100C) morethan100D) 1000
Correctanswer:B
Question684:Whichofthefollowingisnotadisadvantageofbuyingoptions?
A) Itispossiblethatyoumightlosemoremoneythanthepremiumthatyoupaidfortheoption.
B) Thepremiumislostmoney,it’sgoneandyoupayitimmediatelytoanotherpersonwhenyouacquiretheoptioncontractandyoudon’tgetitbacknomatterwhathappenstothestock.
C) Optionshaveexpirationdates.D) Withoptionsyoudon’townthestock.
Correctanswer:A
Question685:HowdidHedgefundmanagerMIchaelBurrypredictedin2005thatUShousingmarketwillcollapseby2007?
A) Hefoundlargenumberofhighrisksubprimeborrowersaremissingtheirpaymentsthatwillcausemortgagemarkettocollapse.
B) HefoundanincreasingpatterninnumberofforeclosuresinUShousingmarket.
C) Heknewthathousingmarketbubblewillburstinacoupleofyears.
D) HefoundthataverylargernumberofmortgagesweresubprimeandahugepercentageofthosesubprimemortgageswasARM(Adjustableratemortgage).
Correctanswer:D
Question686:HowdidHedgefundmanagerMIchaelBurrypredictedin2005thatMortgagebackedsecuritieswillcollapseby2007?
A) Hefoundlargenumberofhighrisksubprimeborrowersaremissingtheirpaymentsthatwillcausemortgagemarkettocollapse.
B) Hefoundanincreasingpatterninnumberofforeclosuresinmortgagemarket.
C) Hewasasmartmanandhadahunch.D) Hefoundthataverylargernumberofmortgagesweresubprime
andahugepercentageofthosesubprimemortgageswasARM(Adjustableratemortgage).
Correctanswer:D
Question687:WhichofthefollowingcomesclosesttohowSalinaGomezexplainswhatasyntheticCDOis,inthemovie"TheBigShort".
A) Asabet,onabet,onabet...butonthesameunderlyingsecurityB) AsafakeCDOcreatedbybankstodefraudinvestors.C) AsCDOsrepresentingtechnologyrelatedsecuritiesD) Noneoftheabove
Correctanswer:A
Question688:WhichstatementisFALSEgiventheformulaforQforanystate-actionpair,givenanexperiencetuple?
A) s'istheresultingnextstate.B) r=R[s,r]isthedelayedrewardfortakingactionainstates.C) α(alpha)isthethelearningrateusedtovarytheweightgivento
newexperiencescomparedwithpastQ-values.D) γ(gamma)isthediscountfactorusedtoprogressivelyreducethe
valueoffuturerewards.
Correctanswer:B
Question689:WhichofthefollowingstatementsisTrue?
A) InQLearning,thelearningrate(alpha)usedtowhatprogressivelyreducethevalueoffeaturerewards.
B) InQLearning,thediscountfactor(gamma)usedtovarytheweightgiventonewexperiencescomparedwithpastQ-values.
C) Highvaluesoflearningratemeansthefuturerewardswerevaluedmore.
D) Noneoftheabove.
Correctanswer:D
Question690:WhichoneofthefollowingisNOTatechnicalindicator?
A) SimpleMovingAverageofpriceB) BollingerBandC) RelativeStrengthIndexD) Dividendyield
Correctanswer:D
Question691:WhichofthefollowingisnotoneoftheMovingAverageindicators?A) SimpleMovingAverage(SMA)B) ExponentialMovingAverage(EMA)C) TrendMovingAverage(TMA)D) WeightedMovingAverage(WMA)
Correctanswer:C
Question692:Isitpossibletoconstructaportfoliowithahigherreturnandalowerriskthatitsunderlyingassets,usingtheEfficientFrontier?
A) No,theportfolio'sreturnisupperboundbythehighestreturnofanyindividualassetitholds.
B) No,theportfolio'sriskislowerboundbythelowestriskofanyindividualassetitholds.
C) Yes,ifyouhavetherightmixofanti-correlatedassets.D) Yes,thismixisfoundonthepeakoftheefficientfrontier.
Correctanswer:A
Question693:Whichofthefollowingstatementsisfalse?
A) HigheralphagenerateshigherSharperatioB) MoreexecutionopportunitiesprovidehigherSharperatioC) SharperatiogrowsasasquarerootofbreadthD) TheInformationCoefficientistheInformationRatiotimesthe
squarerootofbreadth
Correctanswer:D
Question694:InTheBigShort,Dr.BurrycreatedtheCreditDefaultSwap(CDS).WhatisaproperanalogyforthisproductifyouwereDr.Burry?
A) Youarepayinginsuranceforyourwoncar,andUncleSamclaimsthemoneyinthecaseofacrash.
B) YouarepayinginsuranceforUncleSam'scar,andyouclaimthemoneyinthecaseofacrash.
C) Youarepayinginsuranceforyourowncar,andyouclaimthemoneyinthecaseofacrash.
D) YouarepayinginsuranceforUncleSam'scar,andUncleSamclaimsthemoneyinthecaseofacrash.
Correctanswer:B
Question695:IntheBlack-SholesFormula,whatdoesN(d2)mean?
A) probabilityofS<KB) probabilityofS>KC) probabilityofS<KD) Itmeansnothing.
Correctanswer:B
Question696:Ifaninvestorsells100sharesosXYZshortat100andsimultaneouslywritesoneXYZ100putat3.whatisthemaximumgaininthisstrategy?
A) $100/shareB) $103/shareC) $97/shareD) $3/share
Correctanswer:D
Question697:Ifwethinkpriceofthestockwillgodowndramatically,whichoneofthefollowing4actionsisgenerallythebest?
A) LongaCallB) LongaPutC) LongaCallandLongaPutD) ShortaCallandShortaPut
Correctanswer:B
Question698:ThefundamentallawisIR=IC*root(breadth).Whichofthefollowingstatementsiscorrectregardingthefundamentallaw?
A) OnlyICcanbeimprovedeasilyB) OnlyBreadthcanbeimprovedeasilyC) BothICandBreadthcanbeimprovedeasilyD) NeitherICorBreadthcanbeimprovedeasily
Correctanswer:B
Question699:Whatistheproperdefinitionfor"subprimeloan"?
A) Aloanthatoffersaloworsubprimeinterestrate.B) Aloanthatisextendedindurationbutwithincreasedinterest.C) Aloanthatislimitedtoonlyafractionoftheaveragemortgage
loan.D) Aloanthatisprovidedtosubprimeindividualsorthosewithpoor
creditratings(abilitytorepay)
Correctanswer:D
Question700:Whatisthegoalofportfoliooptimization?
A) Todesignacombinationofassetsthatproducesthelowestriskforaspecifiedtargetreturn.
B) TodesignacombinationofassetsthatproducesthelowestoverallSharperatio.
C) Todesignacombinationofassetsthatminimizescumulativereturns.
D) Todesignacombinationofassetsthatmaximizesportfoliovolatilityovertime.
Correctanswer:A
Question701:IftheweakformoftheEfficientMarketHypothesisiscorrect,whichofthefollowingistrue?A) InsideTradersCannotSucceedB) TechnicalAnalysisCannotWorkC) FundamentalAnalysisCannotWorkD) HedgeFundsCannotSucceed
Correctanswer:B
Question702:Whatmakesan"EfficientFrontier"efficient?
A) Ittakestheleastamountoftimetodecidewhethertobuyorsell.B) ItcontainstheportfolioswiththelowestSharperatiosC) Itallocatesasmuchmoneyasaninvestorhasavailabletoinvest.D) Itcontainstheportfolioswiththelowestpossibleriskgivena
particularamountofreturn.
Correctanswer:D
Question703:Considerthefollowing2investmentsstrategies.1.WarrenBuffet,carefullyanalyzesfundamentalofvariousstocks.Andpicksthestocksthatareundervaluedandhashigherchancesofbeatingthemarketinthelongterm.Withthisstrategy,heisconsistentlyabletobeatthemarket.2.AnHFT(High-frequencytrading)firm,usinghigh-speedfibrecableisabletolookattheorderbookofNYSEfewmillisecondsinadvanceoftheothertraders.Byutilizingthisarbitrage,thefirmisabletotradeaccordinglyandconsistentlygeneratetheprofitswhilebeatingthemarket.Whichoftheoptionfromthefollowingistrue?
A) Strategy1violatesthesemi-strongversionofEMHandStrategy2violatestheStrongversionofEMH
B) BothstrategiesviolateSemi-StrongversionofEMH.C) Strategy2violatesthesemi-strongversionofEMHandStrategy1
violatestheweakversionofEMH.D) Strategy1violatesthesemi-strongversionofEMHandStrategy2
violatestheweakversionofEMH
Correctanswer:B
Question704:WhichofthefollowingisnotanEMHassumption:
A) PricesadjustrapidlyB) AllavailableinformationisreflectedbythepricesC) NewinformationarrivesrandomlyD) Thenumberofinvestorsdoesnotmatter
Correctanswer:D
Question705:The______________formoftheefficientmarkethypothesisimpliesthatthereislittleornothingtobegainedfromtechnicalanalysisandfundamentaldata.
A) weakB) semi-weakC) semi-strongD) strong
Correctanswer:C
Question706:Whichchoiceisnotchangedinthereinforcementlearningprocess?
A) StateB) ActionC) RewardD) Policy
Correctanswer:D
Question707:Youareinthe"Coin-FlipCasino",whereyoucanbetonbiasedcoinflipswitha51%chanceofwinningand49%chanceoflosing.Whichofthefollowingisanadvantageofbetting$1on1000coinsversusbetting$1000on1coin?
A) IncreasedexpectedreturnB) DecreasedexpectedreturnC) IncreasedriskD) Decreasedrisk
Correctanswer:D
Question708:ForaMarkovDecisionProblem(MDP),itisassumedthattheAgentknowsthefollowinginadvance:
A) SetofStatesSandSetofActionsAB) TransitionFunctionT[s,a,s’]C) RewardFunctionR[s,a]D) Alloftheabove
Correctanswer:D
Question709:ForQ-learningtoconvergeweneedtocorrectlymanagetheexplorationvsexploitationtradeoff.Whichofthefollowingisthecorrectapproachfortheexplorationstrategy?
A) Everyactionneedstobetriedsufficientlyoftenineverystate.B) Everyactionneedstobetriedasfewtimesaspossibletoavoid
duplication.C) Thenumberoftimesthateveryactionistriedneedstobe
balancedwithhowfrequentlythealgorithmexploitsthataction.D) Noneoftheabove.
Correctanswer:A
Question710:WhatarethecorrectformsoftheEfficientMarketsHypothesis?
A) "Weak",whenthepricesarenotthedeterministicfunctionofthepast
B) "Strong",whenthepricesadjustedtopubliclyavailableinformation
C) "Strongest",whenthepricesreflectallpublicandprivateinformation
D) Alloftheabove
Correctanswer:A
Question711:TodoubleinformationratioinTheFundamentalLawofInvestmentManagement,oneneedsto:A) doubleskillmetricB) doubleinformationcoefficientC) increasenumberofindependentforecastsbythefactorofsqrt(2)D) alloftheabove
Correctanswer:D
Question712:Whichofthefollowingmaybeusedfortechnicalanalysis?
A) Acompany'sbookvalueB) Acompany'sstockpriceC) Acompany'sintangiblevalueD) Acompany'sintrinsicvalue
Correctanswer:B
Question713:Whichsetofdataisagoodcandidateforreinforcementlearningtooutperformothertypesofmachinelearning?
A) Arecorddrivingactionsfrom100tripsinacar.B) Patienttreatmentrecords,fordosagerecommendationwithin
onehour.C) Marsrovercontrollogsfrompreviousmission.D) Charactermovementdatafrom1000000gamesofPac-man.
Correctanswer:D
Question714:WhatgamedidJaredVennett(RyanGosling'scharacter)usewhenhefirstpitchedcreditdefaultswapstoMarkBaum(SteveCarellcharacter)andhisteam?
A) JengaB) HangmanC) BattleshipD) Chess
Correctanswer:A
Question715:FortheStrongformoftheEfficientMarketHypothesis,whichistrue?
A) Futurepricescanbepredictedbyanalyzinghistoricalprices(technicalanalysis)
B) Futurepricescanbepredictedusinginsiderinformation.C) Futurepricescanbepredictedusingpublicinformation
(fundamentalanalysis).D) Futurepricescannotefficientlybepredictedusingtechnical
analysis,fundamentalanalysis,orinsiderinformation.
Correctanswer:D
Question716:ReinforcementLearningDiscountFactor
A) isspecifiedintheinterval[-1,0]B) isusedtoaccountforuncertaintiesaboutfuturerewardsC) developslinearlywithtimeD) choosesfarsightednessovershortsightedness
Correctanswer:B
Question717:Ifyouweretobuyastockusingbollingerbandsasanindicator,whenwouldbeagoodtimetobuythestock?
A) Whenthestockis2standarddeviationsbelowthenormalpriceB) Whenthestockis2standarddeviationsabovethenormalpriceC) Whenthestockis1standarddeviationbelowthenormalpriceD) Whentheprofessorsaysit'sagoodidea
Correctanswer:A
Question718:Whichformoftheefficientmarkethypothesisclaimsthatonlyinformationthatisnotreadilyavailabletothepubliccanhelpinvestorsincreasetheirreturnsabovethatofthegeneralmarket?
A) WeakFormB) Semi-strongFormC) StrongFormD) VeryStrongForm
Correctanswer:B
Question719:Allofthefollowingcouldbeconsidered"state"inareinforcementlearningsystem:
A) Dailyreturns,Bollingervalue,simplemovingaverage,sellingshortB) Dailyreturns,Bollingervalue,buyorderC) Returnfromasingletrade,dailyreturns,BollingervalueD) Buyorder,sellorder
Correctanswer:A
Question720:IfyoubelievethatthestrongformoftheEfficientMarketHypothesisistrue,whichinvestingstrategywouldyoubemostlikelytochoose?
A) ConsiderfundamentalfactorssuchP/Eratio,assets,andliabilities,andtradestocksbasedonhowyouthinktheywilldointhefuture.
B) Analyzetechnicalfactorssuchashistoricalpriceandvolumeusingmachinelearningandtradestocksbasedonyourmodel'spredictionsoffutureprices.
C) Buyandholdapassively-managedindexfundthatmirrorstheperformanceoftheoverallmarket,suchasSPY.
D) Obtainprivateinformationknownonlytocompanyexecutivesandtradebasedonhowyouthinkthepricewillmovewhentheinformationismadepublic.
Correctanswer:C
Question721:WhichofthefollowingformsoftheEfficientMarketsHypothesisclaimthateveninsidertradingwillnotyieldexcessivereturns?A) WeakB) Semi-StrongC) StrongD) Noneoftheabove
Correctanswer:C
Question722:WhichofthefollowingisnotconsideredintheFundamentalLaw?
A) PerformanceB) RewardsC) SkillD) Breadth
Correctanswer:B
Question723:YouareindiscussionwithafriendwhohasusedMachineLearningtobuildseveraltradingmodels.Heexplainsthathecanprovethatthemarketsarestrongformefficient(accordingtotheEfficientMarketHypothesis)becauseheisabletousepricedatatogeneratepositivealpha.Youagree/disagreewiththisstatementbecause:
A) AgreebecausethestrongformEMHdoesnotconsidertheuseofMachineLearningTechniqueswhichareproventogenerateAlpha
B) DisagreebecauseinthestrongformEMHitisimpossibletogeneratepositivealpharegardlessofthemethodused
C) AgreebecauseinthestrongformEMHyoucanusepricedatatogeneratepositivealphaandMachinelearningusesonlypricedatatodiscoverPatterns
D) DisagreebecauseStrongFormspecificallystatesthatthemarketsareNOTefficient
Correctanswer:B
Question724:WhichofthefollowingiscorrectaboutBollingerbands
A) MorevolatilestocksneedbandsnearertothemeanB) MorevolatilestocksneedbandsfartherawayfromthemeanC) Thecommondistanceofthebandsfromthemeanis20standard
deviationD) Bollingerbandsareperfect
Correctanswer:B
Question725:Increasingtheinformationcoefficientisproportionaltoincreasingtheinformationratio,whereasincreasingthebreathaffectstheinformationratioonlyasasquareroot.Whichlawisthisanexampleof?
A) Murphy’sLawB) FoundationLawC) Buffett’sLawD) FundamentalLaw
Correctanswer:D
Question726:Howisasimplemovingaveragecalculated?
A) Thechangeinpricebetweenastartandenddateiscalculatedandthendividedbythenumberofdaysbetweenthetwodates,includingthestartdatebutexcludingtheenddate.
B) Recentclosingpricesareaddedandthendividedbythenumberoftimeperiodsinthecalculationaverage.
C) Averagegainofupperiodsduringthespecifiedtimeframeisdividedbytheaveragelossofdownperiodsduringthespecifiedtimeframe.
D) Blue!Nooooo!!!
Correctanswer:B
Question727:Whatistheequationformomentum?
A) momentum[t]=price[t]/price[t-n]-1B) momentum[t]=price[t]/price[t-n:t].mean()-1C) momentum[t]=price[t].mean()D) momentum[t]=price[t]-SMA[t]/2*stdev[t]
Correctanswer:A
Question728:Pleaseselectalltruestatementsregardingreinforcementlearning.
A) AlwaysrequirespolicytoconductlearningB) usesadecisiontreetogofromobservationsaboutanitemto
conclusionsabouttheitem'stargetvalueC) isanareaofmachinelearningconcernedwithhowagentsought
totakeactionsinanenvironmentsoastomaximizecumulativereward.
D) Requiresapre-definedmodel
Correctanswer:C
Question729:WhichpairrepresentstwoassumptionsthatEMH(EfficientMarketHypothesis)makes.
A) CurrentPricereflectsallavailableinformation,Informationarrivesrandomly
B) Fewinvestorsseekingprofit,PricesadjustquicklyC) Informationarrivesrandomly,CurrentPricereflectsonlysome
informationD) Fewinvestorsseekingprofit,Informationdoesnotarrive
randomly
Correctanswer:A
Question730:WhatisanISDAAgreement?
A) Itrepresentsanagreementthatletsaninvestorsitatthebigboytableandmakehigh-leveltradesnotavailabletostupidamateurs.
B) Itisalegaldocumentwhichregulatescreditsupport(collateral)forderivativetransactions.
C) AcollateralizeddebtobligationisnamedforthepooledassetsD) AnagreementwhichallowsafirmtodobusinesswithUS
governmentdirectly
Correctanswer:A
Question731:Whichofthefollowingisnotconsideredatechnicalindicator?A) RelativeStrengthIndex(RSI)B) P/ERatioC) 20-DayMovingAverageD) BollingerBand®
Correctanswer:B
Question732:Acreditdefaultswapismostsimilarto
A) AninsurancepolicyB) AshortsaleC) AhedgefundD) Abundleofmortgages
Correctanswer:A
Question733:WhichisnotacorrectassumptionofEfficientMarketHypothesis(EMH)?
A) LargenumberofinvestorsB) NewinformationarrivesrandomlyC) PricesadjustslowlyD) Pricesreflectallavailableinformation
Correctanswer:C
Question734:AccordingtotheFundamentalLaw,coulditbelikelyforaninexperiencedfrequencytradertoyieldsimilarreturnscomparedtoatradersuchasWarrenBuffet?
A) Yes,becauseasthevolumeoftradesincreases,therewardopportunityincreasesbyapowerof2.
B) Yes,becausethesheernumberoftransactionscouldoffsetalackofskill.
C) No,becauseWarrenBuffetistheWorld'smostprolificfrequencytrader.
D) No,becausethemoretransactionsthatoccur,themorelikelyitistosufferlosses.
Correctanswer:B
Question735:WhatistheformulaforGrinold'sFundamentalLaw?
A) Performance=Skill*sqrt(Breadth)B) Skill=Performance*sqrt(Breadth)C) Breadth=Skill*sqrt(Performance)D) Performance=Breadth*sqrt(Skill)
Correctanswer:A
Question736:Whichofthefollowingscenariosmightbeanindicationthatitisagoodtimetobuyacertainstock?
A) Stockpricecrossesthesimplemovingaverage.B) StockPriceisatthetopBollingerBandandmomentumis
negative.C) StockPriceisatthebottomBollingerBandandmomentumis
positive.D) Noneoftheabove.
Correctanswer:C
Question737:Simplemovingaveragecanbecalculatedovermultiplewindowsizes.IfSMAwithawindowsizeof20crosseshigherthantheSMAwithawindowsizeof50,whatconclusioncanyoudrawaboutthecurrentstockprice?
A) ItistrendingupwardsB) ItistrendingdownwardsC) Cannotdrawanyconclusions
Correctanswer:A
Question738:Youareahedgefundmanager,andyouwanttoimproveyourperformance.Yourbestfriend,aformerML4Tstudent,saysthatyoushouldconsidertheTheFundamentalLawofactiveportfoliomanagementwhenmakingyourdecision.Whatpossiblethingscanyoudotoimproveyourfund'sperformance?
A) Decreasethebreadthofyourportfolio,andinvestinafew,safestocks.
B) Investinthesameamountofstocks,butpickhigh-riskhigh-returnstocks.
C) Increasethebreadthofyourportfolio,andinvestinawidervarietyofstocks.
D) Decreasethebreadthofyourportfolio,andpickhigh-riskhigh-returnstocks.
Correctanswer:C
Question739:TheS&P500isupmorethan200%sinceMarch2009.IfyouhadboughtsharesofthecompaniesthatweremembersoftheS&P500inMarch2009inproportiontotheirrepresentationintheindexinMarch2009,WhatwouldbeyourreturnsinceMarch2009tilltoday?
A) Morethan200%becausethatishowmuchtheS&P500roseB) Lessthan200%C) CannotsaybecauseofSurvivorshipbiasD) Exactly200%
Correctanswer:C
Question740:Averyefficientmarketwithnoinsiderinformationwouldbenefitaninvestormostwho:
A) Uses"strongform"ofEMHandtriestogetinsiderinformation.B) Uses"strongform"ofEMHandtriestobefriendjournaliststo
takeadvantageofpublicinformationC) Uses"weakform"ofEMHandutilizesindustrialknowledgeof
productsegmentstoidentifycompanieswithundervaluedintrinsicvalue
D) Uses"weakform"ofEMHtodotechnicalandfundamentalanalysis
Correctanswer:C
Question741:Whichoptionwouldprovidethemosteffectiveformoftechnicalanalysisinatradingstrategy:A) ExponentialMovingAverage(EMA)withaspanof10daysB) AcombinationofBollingerBandsandMomentumwithawindowof
10daysC) AcombinationofBollingerBandsandMomentumwithawindowof
252daysD) Acombinationofacompany'smarketvalueandbookvalue
Correctanswer:B
Question742:Whencomparingastock'spricetoBollingerBands,whenthepriceofastockgoesabovetheupperband,thencomesbackdown,thisisatechnicalindicatortodowhat?
A) BuythestockB) DonothingC) SellthestockD) It'simpossibleforthepricetogoabovetheupperband
Correctanswer:C
Question743:Acompany'scurrentstockpriceis50dollarpershare.Currentlong-termcorporatebondyieldis5%.Thedividendyieldhasbeen10%for10years.Anexecutivejustsoldhersharesfor49dollarspershare.Supposethemarketisstrong-formefficient,whatwouldbethedividendthisyear?
A) 2.5B) 5C) 4.9D) 2.45
Correctanswer:C
Question744:WeakEMHprohibitswhichofthefollowingindicators?
A) TechnicalB) FundamentalC) InsiderD) Noneoftheabove
Correctanswer:A
Question745:Considerthefollowingstatements:Stockpricesadjustimmediatelytonewpublicinformation,soinvestorscanuseneitherfundamentalnortechnicalanalysistomakeprofitsonthemarket.However,insiderinformationmayhelpinvestors.Whichofthefollowingbestdescribesthesestatements?
A) WeakformofEfficientMarketHypothesisB) Semi-weakformofEfficientMarketHypothesisC) StrongformofEfficientMarketHypothesisD) Super-strongformofEfficientMarketHypothesis
Correctanswer:B
Question746:Whatformoftheefficientmarketshypothesisimpliesthatbookvalueisnotavailabletopredictmarketperformance?
A) WeakB) Weakly-StrongC) StrongD) Alltheabove
Correctanswer:C
Question747:Whatformoftheefficientmarketshypothesisimpliesthatbookvalueisnotavailabletopredictmarketperformance?
A) WeakB) Weakly-StrongC) StrongD) Alltheabove
Correctanswer:C
Question748:WhattechnicalindicatorisusedtocomputeBollingerBands?
A) MomentumB) Simplemovingaverage(SMA)C) PriceoverSMAD) MACD
Correctanswer:B
Question749:Whatwouldbethebestreasontouseema(exponentialmovingaverage)comparedtosma(simplemovingaverage)?
A) Performance:emaisfastertocomputethansmaB) Clarity:theexponentialcreatemorerangebetweenvaluesthan
smaC) Weight:emaprioritizerecentpriceinitsaverageD) Accuracy:emagivesbetterresultthansma
Correctanswer:C
Question750:Whichoneofthefollowingversionsoftheefficientmarkethypothesisstatesthateveninsiderknowledgecannotgiveanytradeadvantage?
A) WeakB) Semi-StrongC) StrongD) Super-Strong
Correctanswer:C
Question751:WhichofthefollowingistrueaboutInformationRatio?A) InformationRatioisameasureofmanagerperformanceovertime.B) InformationRatioisratioofexcessreturnstostandarddeviationof
excessreturns.C) InformationRatioisratioofreturnstostandarddeviationofreturns.D) BothAandB
Correctanswer:D
Question752:WhenyouenterTuckerBalch'sCoinTossCasino,whatisthebetterstrategy?Betadollarat1000boothsorbet1000atonesinglebooth?
A) Itdoesn'tmatterbecausebothstrategieshavethesameexpectedreturn
B) Bettingadollarat1000boothsbecauseyoulowerriskC) Betting1000atasingleboothbecauseitishigherreward
Correctanswer:B
Question753:SimpleMovingAverageandStandardDeviationofastock'spricearetechnicalindicatorsofwhat,respectively:
A) Volatility,andMomentumB) Momentum,andVolatilityC) BothareindicatorsofVolatilityD) Bothareindicatorsofmomentum
Correctanswer:B
Question754:WhichstatementisFalse?
A) Reinforcementlearningcanbeunderstoodusingtheconceptsofagents,environments,states,actionsandrewards
B) Reinforcementlearningsolvesthedifficultproblemofcorrelatingimmediateactionswiththedelayedreturnstheyproduce.
C) ReinforcementlearningassumesknowledgeofanexactmathematicalmodeloftheMDPunlikeclassicaldynamicprogrammingmethods.
D) Reinforcementlearninginsystemswithunknownenvironmentwheretheagentmusttradeoffefficientlybetweenexploration(long-termoptimization)andexploitation(short-termoptimization)
Correctanswer:C
Question755:Weakformmarketefficiency
A) iscompatiblewithtechnicalanalysisB) impliesthattheexpectedreturnonanysecurityiszeroC) involvespriceandvolumeinformationD) incorporatessemi-strongformefficiency
Correctanswer:C
Question756:Considerthefollowingthefollowingenvironment:{[+2][+0][-1][START][-1][-1][+1][+3]}whereaplayerbeginningat“START”canmoveoneposition(leftorright)perunittimeandreceivetheawardorpenaltyatthatposition.Whatisthemaximumrewardthatcanbeachievedunderthefollowingconditions:-finitetimehorizonof3-finitetimehorizonof4-aninfinitetimehorizon
A) +2,+3,+2B) +1,+2,infiniteC) +2,+3,+3D) infinite,infinite,infinite
Correctanswer:B
Question757:WhichofthefollowingstatementsdoesNOTsupportSemi-StrongFormEMH?
A) Themarketquicklyadjustspricesinresponsetonewpublicinformation.
B) Futurestockpricescannotbepredictedusinghistoricprices.C) Exogenousinformationcanbeusedtopredictstockprices.D) Privateinformationonacompanycanhelpaninvestorprofitin
themarket.
Correctanswer:C
Question758:Whichofthefollowingwillincreasetheperformancethemost
A) Increasetheinformationcoeffientby4timesB) Increasethebreadthby4timesC) Decreasetheinformationcoeffientto1/4D) Decreasethebreadthto1/4
Correctanswer:A
Question759:Belowisalistcontainingthedailypricesofastockovertendays.Assumingthatwedenotethefirstdayasday0,atwhichofthedaysbelowisthemomentumatit'smaximum?Consider3dayswhencalculatingmomentum.[8.0,10.0,9.5,10.0,10.0,8.0,7.0,7.5,8.0,10.0]
A) 3B) 4C) 8D) 9
Correctanswer:D
Question760:Whatdoyoucallanoptionwhichhasnointrinsicvalueandwillbeworthlessifexpired?
A) At-the-moneyoptionB) In-the-moneyoptionC) Out-of-the-moneyoptionD) Putoption
Correctanswer:C
Question761:Whatisacoveredcallstrategy?A) writeastock&writeacallB) buyastock&buyacallC) buyastock&writeacallD) writeastock&buyacall
Correctanswer:C
Question762:Whichofthefollowingisnottrueoftheweakformoftheefficientmarkethypothesis?
A) FuturepricescannotbepredictedbyanalysisofhistoricalpricesB) SilentonfundamentalorinsiderinformationC) Essentiallyimpossibletomakemoneybyholdingaportfolioother
thanthemarketportfolioD) Cannotprofitbylookingathistoricalprice
Correctanswer:C
Question763:WhichofthefollowingisnotakeyassumptionoftheEfficientMarketsHypothesis?
A) Therearealargenumberofinvestorsactinginthemarketforprofit.
B) Newinformationarriveslinearly.C) Pricesadjustquickly.D) Currentpricesreflectallavailableinformation.
Correctanswer:B
Question764:Ifyoubuyanoptioncontract(CallOption)at$100pershareandpayapremiumof$2.00pershare,attheexpirationday,thestockpriceis$90,howmuchhaveyougain?
A) -$300B) $100C) -$200D) -$100
Correctanswer:C
Question765:Whatistrueaboutthemortgageinthemortgage-backedsecurity(MBS)?
A) Themortgagesaresoldtoagroupofindividualsthatpackages,theloanstogetherintoasecuritythatinvestorscanbuy.
B) Themortgagesaresoldtoonlysingleindividualthatpackages,theloanstogetherintoasecuritythatinvestorscanbuy.
C) Themortgagesaresoldtoinvestorsandeachoneissoldindependently.
D) Alloftheabovearecorrectly.
Correctanswer:A
Question766:Reinforcementlearningissuitableforwhatscenariobelow?
A) ClusteringunlabeledplantsbysizeandheightB) ClassifyinghealthyvsunhealthycellsC) OptimizinginventoryspaceinwarehouseD) Drawingaregressionlinebetweentwodatasets
Correctanswer:C
Question767:In“TheBigShort”,whichofthefollowingisNOTdiscussedascontributingtothehousingmarketcollapse?
A) LandlordsraisingrentfortheirtenantsB) BondsbuiltoutofmortgageloansC) HomeownersnotpayingtheirmortgagesontimeD) Fallinghouseprices
Correctanswer:A
Question768:TheFundamentalLaw:Supposetherearetwoinformationsources.TheICforeachsourceis0.01andthecorrelationbetweentwosourcesis1.whatistheskilllevelofthecombinedsources?
A) 0.02B) 0.01C) 0.015D) 0
Correctanswer:B
Question769:IfIhaveanoptioncontractfor200sharesofAAPLwithastrikepriceof$200andthecurrentpriceofAAPLis$180,whatshouldIdo?
A) Buy200sharesofAAPLnow!B) Sell200sharesofAAPLnow!C) WaitandseeifthepriceofAAPLgoesupbeforeyourcontract
runsouttodecidewhattodoD) WaitandseeifthepriceofAAPLgoesdownbeforeyourcontract
runsouttodecidewhattodo
Correctanswer:C
Question770:BasedontheFundamentalLaw,anequalincreaseinperformanceandininvestmentskillsignifiesthat:
A) Thenumberoftradingopportunitiesincreasesbythesquarerootoftheperformanceincrease.
B) Thenumberoftradingopportunitiesstaysconstant.C) Thenumberoftradingopportunitiesdecreasesbythesquareroot
oftheperformanceincrease.D) Thenumberoftradingopportunitiesincreasesbythesquareof
theinvestmentskill.
Correctanswer:B
Question771:WhatistheFundamentalLawofActiveManagementbyGrinoldandKahn?A) InformationRatio=InformationCoefficient*squareroot(Numberof
tradingopportunitiesperyear)B) InformationRatio=InformationCoefficient/Numberoftrading
opportunitiesperyearC) InformationRatio=InformationCoefficient*Numberoftrading
opportunitiesperyearD) InformationRatio=squareroot(InformationCoefficient)*Numberof
tradingopportunitiesperyear
Correctanswer:A
Question772:You'reconsideringseveralportfolioallocations,including:portfolioA,whichyieldsa25%returnwithaSharperatioof2.0,Bwhichyieldsa50%returnwithaSRof1.0,Cwhichyieldsa25%returnwithaSRof1.0andDwhichyieldsa10%returnwithaSRof2.0.Youplotthepotentialportfolios'riskandreturnandtheresultingefficientfrontier.WherewouldportfolioClie?
A) Above/totheleftoftheefficientfrontierB) OntheefficientfrontierC) Below/totherightoftheefficientfrontierD) Notenoughinformationtoknowforsure
Correctanswer:C
Question773:Supposetwoportfolioshavethesameaveragereturn,thesamestandarddeviationofreturnbutportfolioAhasahigherbetathanportfolioB.AccordingtotheSharperatio,portfolioA’sperformanceis:
A) betterthanBB) poorerthanBC) sameasBD) notenoughinformation
Correctanswer:C
Question774:Ahedgefundengagingintechnicalanalysisdothinkthat
A) EMHWeakformiscorrectbutSemi-strongisnotB) EMHSemi-strongformiscorrectbutstrongformisnotC) EMHstrongformiscorrectD) EMHisincorrectregardlessofwhichform
Correctanswer:D
Question775:Whichofthefollowingstatementisincorrect?
A) Thefundamentallawisdesignedtogiveusinsightintoactivemanagement.
B) Thefundamentallawisdesignedtogiveusinsightintopassivemanagement.
C) Thefundamentallawconnectsbreadthandskilltotheinformationratio
D) Alloftheabovearecorrect.
Correctanswer:B
Question776:Whichofthefollowingistruewhencomparingreinforcementlearningandlinearregression?
A) Reinforcementlearningtellsuswhentosellourstock,whilelinearregressiondoesnot
B) Reinforcementlearningtellsuswhichstockwillyieldthebiggestreturnoveracertainperiod,whilelinearregressiondoesnot
C) Reinforcementlearningtellsustheuncertaintyofthepricechange,andsodoeslinearregression
D) Reinforcementlearningisafastermodeltotrainwhencomparedtolinearregression
Correctanswer:A
Question777:RRlabs'stockpriceonSept10,2018,was$200.OnSept11,2018,RRLabsannouncedthattheyinventedadrugthatcouldcurestage3cancer.OnSept12,2018,thestockpriceofRRlabswas$200.Whatdoyouinferabouttheinformationalefficiencyofthemarkets?
A) WeakformB) Semi-StrongFormC) StrongFormD) BothAandB
Correctanswer:A
Question778:Whatisreinforcementlearning?
A) Systemisgivennodataandlearnsbasedonoutcomesfrominteractionswithitsenvironment
B) Systemisgivenadatasetalongwithcorrectoutputandmustfindarelationshipinthedataset
C) Systemisgivenajustadatasetandmustfindarelationshipinthedataset
D) Systemgeneratesrandomnumbersinanendlessloop
Correctanswer:A
Question779:Totripletheinformationratioofourhedgefundwecan...
A) IncreaseourBreadthby3timesB) DecreaseourInformationCoefficientby3timesC) DecreaseourBreadthby3timesD) IncreaseourBreadthby9times
Correctanswer:D
Question780:BasedonMeanVarianceOptimization,youshouldlookforstockswith:
A) anti-correlationinshorttermsandpositive-correlationinlongterms
B) anti-correlationinshorttermsandpositive-correlationinshortterms
C) anti-correlationinlongtermsandpositive-correlationinlongterms
D) anti-correlationinlongtermsandpositive-correlationinshortterms
Correctanswer:A
Question781:WhichofthefollowingisNOTanassumptionoftheEfficientMarketsHypothesis?A) SmallnumberofinvestorsoperatinginthemarketforprofitB) NewinformationarrivesrandomlyC) PricesadjustquicklyD) Pricesreflectallavailableinformation
Correctanswer:A
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