Goldman Sachs · Portfolio & Risk

Goldman Sachs Portfolio & Risk Interview Questions

Portfolio and risk questions cover the Sharpe ratio, Value at Risk, the Kelly criterion, diversification and drawdown — the toolkit of risk and portfolio interviews. Below are 6 portfolio & risk problems of the kind asked at Goldman Sachs.

155

Sharpe Ratio

Goldman SachsAQR Capital

Easy 156

Two-Asset Portfolio Volatility

Goldman SachsAQR Capital

Medium 157

Value at Risk (Normal)

Goldman SachsMorgan StanleyMillennium Management

Medium 162

VaR Time Scaling

Goldman SachsMorgan Stanley

Medium 164

Portfolio Beta

Goldman SachsAQR Capital

Easy 167

Minimum-Variance Hedge Ratio

Goldman SachsPIMCO

Medium

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