Free PRMIA 8002 Practice Exam with Questions & Answers | Set: 4

Which of the following is not a sequence?

Let X be a random variable distributed normally with mean 0 and standard deviation 1. What is the expected value of exp(X)?

Every covariance matrix must be positive semi-definite. If it were not then:

Suppose 60% of capital is invested in asset 1, with volatility 40% and the rest is invested in asset 2, with volatility 30%. If the two asset returns have a correlation of -0.5, what is the volatility of the portfolio?

Let E(X ) = 1, E(Y ) = 3, Corr(X, Y ) = -0.2, E(X2 ) = 10 and E(Y2 ) = 13. Find the covariance between X and Y

What is the 40th term in the following series: 4, 14, 30, 52, …?

The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?

What is the total derivative of the function f(x,y) = ln(x+y), where ln() denotes the natural logarithmic function?

Suppose I trade an option and I wish to hedge that option for delta and vega. Another option is available to trade. To complete the hedge I would