1. How would you modify the HRP exercise 1, algorithm to produce allocations that add up to 0, where

2. Can you think of an easy way to incorporate expected returns in the HRP allocations?

exercise 1

Given the PnL series on N investment strategies:

(a) Align them to the average frequency of their bets (e.g., weekly observations for strategies that trade on a weekly basis).

(b) Compute the covariance of their returns, V.

(c) Identify the hierarchical clusters among the N strategies.

(d) Plot the clustered correlation matrix of the N strategies.

 

 

 

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1. How many perfect shuffles will bring all the elements in an array of size 2' back to their original positions?

2. Draw a table like that in Figure 40.7 to illustrate the operation of the systolic matrix-vector multiplier for the following problem:

3. Write a conventional C program that simulates the operation of the systolic array for multiplying an N -by-N matrix by an N -by-1 vector.

 

 

 

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1. How many calls to visit are made (as a function of V) by the permutation generation procedure?

2. Derive a non-recursive permutation generation procedure from the program given.

3. Write a program which determines whether or not two given adjacency matrices represent the same graph, except with different vertex names. fi.

 

 

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1. If inflation is expected to steadily decrease in the future, the term structure of interest rates will most likely be:

upward-sloping.

 

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1- If, in a single contiguous memory management system, the program is loaded at address 5000, compute the physical addresses (in decimal) that correspond to the following logical addresses:

A. 103

B. 455

 

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