### TABLE 7 - Skewness of Portfolio Returns for LPM Portfolios

1992

"... In PAGE 20: ... This indicates that the number of securities in the CLPM matrix does affect the efficiency of the Martin simultaneous-equation LPM algorithm and that 100-150 security matrices should not be used with less than 72 observations. TABLE7 ABOUT HERE V. SUMMARY AND CONCLUSIONS This study is concerned with two areas of LPM research that have not appeared in the literature: the size and composition of portfolios selected by a n-degree LPM optimal algorithm as compared to EV efficient portfolios and the effect of varying the degree of the LPM measure on the expected performance... ..."

Cited by 5

### Table 1: FX portfolio

"... In PAGE 4: ... Note that while both the TRP and the triangular decomposition indicate whether changes in position increase or decrease the portfolio VaR, the latter provides a useful visualization of the correlation between the position and the rest of the portfolio that is difficult to infer from the TRP. Example: FX portfolio Table1 shows a portfolio of foreign exchange (FX) forward contracts as of July 1, 1997. The exchange rates, in USD, are 0.... ..."

### Table 1: Product Portfolio

"... In PAGE 4: ... The above cycle time delays were created as variables to be assigned at the product family level. Table1 shows the delays used for each product in this model. The wafer product portfolio was modeled to match real world wafer fab conditions.... ..."

### Table 5 Portfolio selection

2001

### TABLE 3 - Comparison Of An EV Portfolio With Comparable LPM Portfolios

1992

"... In PAGE 15: ... This indicates that the CLPM (which includes the correlation between assets) is important in determining the skewness of the portfolio. TABLE3 ABOUT HERE Portfolio Skewness Table 4 provides the relative skewness for each portfolio selected by the LPM and EV techniques. The relative skewness is computed as the average cubed deviation about the mean divided by the cube of the standard deviation ( Beedles... ..."

Cited by 5

### Table 3: Portfolio Before-After Optimization Portfolio

"... In PAGE 3: ... The optimizer recommended the removal of 16 ac- counts from the portfolio. Table3 shows summary infor- mation before and after the optimization for the portfolio as a whole. On the whole, this was a profitable book of business, but there were a small number of relatively poorly perform- ing accounts.... ..."

### Table 3 Parametric portfolio selection

2001

"... In PAGE 10: ... These results are valid both for MV and LMAD objectives, because the objective function has not intervened until now. Table3 shows the portfolio selection obtained by applying the parametric programming formulation, both for MV and LMAD models. 5.... ..."

### Table 9: Czech Loans Portfolio

"... In PAGE 33: ... Additionally, since data was obtained from a small number of banks, the possibly of depicting a biased picture is very high. The estimated model inputs are summarized in Table9 . This represents the 33-asset portfolio on which the aforementioned methodologies were applied.... ..."

### Table 2 Performance of Portfolio Strategies

"... In PAGE 11: ...allocations determined by an algorithm add value over a naive portfolio with equal weights? The comparison of the performance of the four investment strategies should help to answer these questions. Table2 presents the first set of results. The ES Subset slightly outperforms the S amp;P 500 Composite Index.... In PAGE 11: ... However, considering the performance of the decile and quintile portfolios, simply ranking the earnings surprise stocks by R/LPM adds value relative to the ES Subset. Table 3 provides additional performance measurements of the four strategies that reinforces the findings in Table2... ..."