TL;DR
Cauchy-Schwarz and Correlation Bounds: A canonical quantitative trading interview question at foundation difficulty. Commonly asked at Two Sigma, Citadel, DE Shaw, AQR.
By Valenke Exam Prep Team·Last updated 2026-06-01
foundationReal Analysis & Inequalities
Cauchy-Schwarz and Correlation Bounds
Asked at: Two Sigma, Citadel, DE Shaw, AQR
Problem
Prove the Cauchy-Schwarz inequality from first principles. Use it to prove that the correlation coefficient satisfies .
Related concepts
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