Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
29 shown
M14 Portfolio construction, risk, psychology and going live 29
- P1 Every portfolio covaries equally with the GMV ★
- P2 Zero-beta portfolios ★★★
- P3 Tangency by hand ★ Check
- P4 Error amplification ★★ Check
- P5 Shrinkage intensity in closed form ★★ Check
- P6 Risk contributions for two assets ★ Check
- P7 When inverse vol is not ERC ★★ Check
- P8 Volatility targeting ★★ Check
- P9 Conditional correlation ★ Check
- P10 Two books ★ Check
- P11 Drawdown control with gaps ★★★ Check
- P12 Prospect theory numbers ★★ Check
- P13 Measure your own disposition effect ★★ Check
- P14 Graduation arithmetic ★★ Check
- P15 Calibrating a daily loss limit ★★ Check
- P16 An LTCM-style stress ★★ Check
- P17 Jhunjhunwala's two books ★★ Check
- P18 Two short-option desks ★★ Check
- P19 Student- Expected Shortfall ★★ Check
- P20 Why the definition of ES matters ★★★ Check
- P21 Delta–gamma on a short straddle ★★ Check
- P22 Aggregating rupee Greeks ★★ Check
- P23 An MTF margin call ★★ Check
- P24 Wrong-way collateral and endogenous margin ★★ Check
- P25 Probability of a call ★★ Check
- P26 Short via SLB or via the future ★★ Check
- P27 Static versus constant leverage ★ Check
- P28 A beta-matched put hedge ★★ Check
- P29 The tax mismatch ★★ Check