How should I practice Regression Hedge?

Start by reading the full statement, solve the visible examples, then compare the pattern against related Millennium online assessment problems in FastPrep.

Is Regression Hedge associated with Millennium?

FastPrep tags this as a Millennium online assessment coding practice problem when the problem catalog has that company and stage context.

Problem · Math

Regression Hedge

● Hard

MillenniumNEW GRADOA

Problem statement

A portfolio holds target_quantity units of a target asset and can hedge with two other assets. Estimate a regression hedge from the supplied return history.

Calculation

Sort returns by period.
Convert the three return columns to IEEE-754 float64.
De-mean each return series independently.
Solve the ordinary least-squares system X beta = y, where y is the de-meaned target return and the two columns of X are the de-meaned hedge returns.
Return hedge quantities -target_quantity * beta in hedge-column order.

Table schema

Pandas

Use the same input data with any supported language. Open the Schema tab in the editor to see the generated SQL setup or Pandas DataFrames.

returns

Column	Type	Nullable	Description
periodPK	Integer	No	—
target_return	Decimal	No	—
hedge_1_return	Decimal	No	—
hedge_2_return	Decimal	No	—

positions

Column	Type	Nullable	Description
config_idPK	Integer	No	—
target_quantity	Decimal	No	—

Expected result

Your query or function must return these columns.

Column	Type	Nullable	Description
hedge_1_quantity	Decimal	No	—
hedge_2_quantity	Decimal	No	—

Row order: must match exactly. Numeric tolerance: 0.000001.

Constraints

The return history contains between 3 and 2000 rows with unique periods.
Every return and the target quantity is a finite exact decimal in [-1000, 1000].
After de-meaning, the two hedge-return columns have full column rank.
positions contains exactly one row with config_id = 1.
Numeric results are compared with absolute tolerance 0.000001.