# 7.1 The coordinated max-median rule for portfolio selection  (Page 4/6)

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In essence, this approach was very appealing in terms of performance, development time, and cost (essentially free). Although faster and more efficient implementations are possible (e.g. C/C++ and Fortran with open-MPI , the aforementioned implementation was sufficient for our purposes).

The code utilized was initially developed for sequential execution (in SAS ) and then converted to R with similar performance. It was subsequently converted from sequential to parallel to exploit the benefits of a parallel R -implementation. The standard steps for this conversion process are pretty standard, essentially:

1. We identify the loops which carry independent computations. we have two main loops. Firstly, simulating J portfolios can be regarded as J independent operations, which we can execute concurrently. Secondly, running the algorithm over a number of N years, can be regarded as N independent computational efforts.
2. Vectorize loops ( Workhorse Functions).
3. Gather results ( Combine/Gather Functions).
4. Distribute Execution (Call functions with snow ).

Several 64 processor jobs were submitted to Rice's Cray XD1 Research Cluster (ADA) - occupying 16 nodes, each with a total of 4 processors. The jobs would take less than 20 hours to complete, for about 64 simulated tracks of 40 years each.

## Preliminary results

Several simulations were run with observed, above average performance (number of portfolios inspected per simulation was in the range of $J=25,000$ to $J=50,000$ ). Figure 1 shows a simulation of $J=50,000$ portfolios per year over a period of 43 years. Several interesting features can be noted through this figure. We can appreciate that any investor that made up a portfolio with an initial investment of $100,000 in 1970 and selected the same stocks chosen by our algorithm would have allowed his or her portfolio to compound to a total of$3.7M (by the end of 2008), which performed better than both an equal-investment strategy in the S&P 500 Index (about $2.7M) or a market-cap weighted investment strategy in the S&P 500 Index (slightly below$1M). Of course, we can imagine that the computational power that was used was not available in the early seventies, but moving forward it will be and to an extent this is what matters. Also it is clearly seen that the Coordinated Max-Median Rule is inherently a more volatile rule (as compared to the S&P 500). Next, Figure 2 describes 1 of 3 pilot runs that were evaluated with various measures suggesting the superiority of the max-median (as opposed to, say for instance the mean, as well as the benefit of using the “max” rather than the “min”). This seems plausible, at least heuristically, as the median is most robust (the mean is least robust), and in some sense the previous years “best” performing companies are more likely to perform better next year than the previous years “worst” performing companies (in terms of returns).

how to know photocatalytic properties of tio2 nanoparticles...what to do now
it is a goid question and i want to know the answer as well
Maciej
Do somebody tell me a best nano engineering book for beginners?
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are you nano engineer ?
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what is the Synthesis, properties,and applications of carbon nano chemistry
Mostly, they use nano carbon for electronics and for materials to be strengthened.
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is Bucky paper clear?
CYNTHIA
so some one know about replacing silicon atom with phosphorous in semiconductors device?
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Do you know which machine is used to that process?
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how to fabricate graphene ink ?
for screen printed electrodes ?
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or in general
Ebrahim
in general
s.
Graphene has a hexagonal structure
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On having this app for quite a bit time, Haven't realised there's a chat room in it.
Cied
what is biological synthesis of nanoparticles
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China
Cied
types of nano material
I start with an easy one. carbon nanotubes woven into a long filament like a string
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what is the function of carbon nanotubes?
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I'm interested in nanotube
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what is system testing
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Stotaw
In this morden time nanotechnology used in many field . 1-Electronics-manufacturad IC ,RAM,MRAM,solar panel etc 2-Helth and Medical-Nanomedicine,Drug Dilivery for cancer treatment etc 3- Atomobile -MEMS, Coating on car etc. and may other field for details you can check at Google
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anybody can imagine what will be happen after 100 years from now in nano tech world
Prasenjit
after 100 year this will be not nanotechnology maybe this technology name will be change . maybe aftet 100 year . we work on electron lable practically about its properties and behaviour by the different instruments
Azam
name doesn't matter , whatever it will be change... I'm taking about effect on circumstances of the microscopic world
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how hard could it be to apply nanotechnology against viral infections such HIV or Ebola?
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silver nanoparticles could handle the job?
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not now but maybe in future only AgNP maybe any other nanomaterials
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Hello
Uday
I'm interested in Nanotube
Uday
this technology will not going on for the long time , so I'm thinking about femtotechnology 10^-15
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can nanotechnology change the direction of the face of the world
how did you get the value of 2000N.What calculations are needed to arrive at it
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