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By Tai, June 2, 2010 10:17 pm

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By Tai, May 27, 2010 10:19 pm

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Portfolio Optimization of S&P 500 assets and Forecast of Efficiency in turbulence

Thuy Nguyen, Tai Tran, Huy Truong

October 2009

Abstract

Optimization is one key activity to portfolio management practice. This document draws portfolio selection and optimization guidelines from Harry Markowitz, William Sharpe, Treynor & Black and Modigliani & Modigliani works to optimize portfolios constructed from the S&P 500 and fixed income assets. We build efficient portfolios using their adjusted daily historical data through an observation of 15 years. We find that, under short-selling liquidity constraint, Wal-Mart outperforms the market and its peers, and prevails through macro-economic fluctuations. Short-cuts to portfolio construction and rebalancing using Black method reduces input management efforts, while comes at a slight trade-off of accuracy. We also forecast portfolio returns for subsequent years and adjust our models to cope with possible turbulence. The efficient portfolios still produces better results than bogey portfolios do.

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By Tai, May 18, 2010 1:16 am

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• Change focus from doing (mega)deals to operations
• Focus on strengths i.e. printer
• Separated printer and PC businesses
• Cost saving
• Manage supply chain and turn Intel and AMD against each other
• Develop distribution network with retailers

Results

1. Overtook Dell
2. Shareholder value
3. A smart deal with Palm
4. HP with Plate is currently in best position against Apple in the tablet segment

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By Tai, May 17, 2010 10:23 pm

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By Tai,

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If Facebook offers more privacy options, it makes people feel safer sharing their information, and they would likely share more. Example: I want to share information A to group X but not group Y; I am comfortable with (or even have incentive to) revealing interest B to group T but not group U.

Facebook can then perform data mining on the information, it’s inside Facebook’s great wall anyway.

Privacy can hinder those who want to collect data on Facebook only through information visible to them. But not to those who are willing to pay Facebook for the data mining.

Facebook benefits both way.

Photo courtesy: History of Economics Playground