How would you answer that interview question?
Recently in an interview, I got asked the following question. We have two strategieswith the following daily return averages and standard deviations.
S1: 2% (5%)
S2: 1% (1%)
Which strategy do you prefer? How would you combine them?
The interviewer didn't seem satisfied with my answers and I'm curious to know how you would approach that problem.
Can someone mathematically prove that S2 will make more money?