1. Portfolio Optimization I Discuss aspects of PO, including the Efficient Frontier, Capital Allocation Line, Modern Portfolio Theory and Portfolio Correlation. IIDiscuss how LTCM’s Portfolio Optimization went wrong, including the portfolio’s correlation factor. IIIDiscuss Portfolio Optimization and some problems associated with it. IVContrast a simpler alternative to more elaborate strategies while producing more consistent performance

2. I a

3. I b http://www.creativewealthstrategies.com/Modern_Portfolio_Theory.doc

4. I c

5. The Efficient Frontier for S&P 100 I d http://www.nag.co.uk/doc/TechRep/Pdf/tr2_00.pdf

6. I e http://www.moneychimp.com/articles/valuation/capm.htm

7. Efficient Frontier. I f http:// en.wikipedia.org/wiki/File:Markowitz_frontier.jpg

8. Portfolio Optimization with two assets Corporate Bond Treasury Risk-free Optimal Portfolio II a Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, Philippe Jorion, pps 557-563

9. Portfolio Optimization Capital Allocation Line The Efficient Frontier II b Corporate Bond Treasury Bond Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, Philippe Jorion, pps 557-563

10. II c www.indexfundeducator.com

11. II d www.indexfundeducator.com

12. II e www.indexfundeducator.com

13. Risk and the Number of Securities Risk (% pa) Number of Securities II f Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, Philippe Jorion, pps 557-563

14. II g Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, Philippe Jorion, pps 557-563

15. default-rate volatility Moody’s Investor Services, Alexandra Berthault II h

16. III a http://www.travismorien.com/FAQ/portfolios/mptcriticism.htm

17. IV a

18. IV b

19. IV c Passive Investing Produces Better Returns Over Time

20. IV d The business schools reward difficult complex behavior more than simple behavior, but simple behavior is more effective. - Warren Buffett http://www.travismorien.com/FAQ/portfolios/mptcriticism.htm

21. To summarize: Optimum portfolio is where Efficient frontier meets the CAL http://www.moneychimp.com/articles/valuation/capm.htm

22. Lessons learned from LTCM Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, Philippe Jorion, pps 557-563

23. MPT Not Realistic http://www.travismorien.com/FAQ/portfolios/mptcriticism.htm

24. Passive Investing Produces Better Returns Over Time

25. Thank you