2026年量化面试快速回顾的数学与编程知识点.docxVIP

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2026年量化面试快速回顾的数学与编程知识点

数值计算与线性代数（3题，每题10分）

题目1（10分）

某量化对冲基金采用均值-方差优化策略管理一个包含5只股票的投资组合。已知股票的预期收益率向量μ＝[0.12,0.10,0.15,0.08,0.11]（单位：年化），协方差矩阵Σ为：

Σ＝[[0.015,0.002,0.003,0.001,0.002],

[0.002,0.010,0.002,0.001,0.001],

[0.003,0.002,0.020,0.001,0.004],

[0.001,0.001,0.001,0.008,0.0005],

[0.002,0.001,0.004,0.0005,0.012]]

假设投资组合总资金为1000万元，风险偏好系数为2。请计算：

1.最优投资权重向量

2.该投资组合的预期收益率和方差

答案与解析：

1.最优投资权重计算：

使用马科维茨均值-方差模型，最优权重w＝Σ?1μ/（μ?Σ?1μ）×2

计算过程：

μ?Σ?1＝[0.0541,0.0496,0.0675,0.0398,0.0512]

μ?Σ?1μ＝0.2921

最终权重w＝[0.378,0.347,0.469,0.279,0.357]

2.投资组合预期收益率和