15.433

from ocw 3 harry markowitz, 'portfolio selection', journal of finance, march 1952, u. of chicago (grad student) 'the process of selecting a portfolio may be divided into two stages. the first stage starts with observation and experience and ends with beliefs about the future performances of available securities. the second stage starts with the relevant beliefs about future performances and ends with the choice of portfolio' my code concerns second part for computation, but could also guide quantitative, rational, unemotional thought and validate assumptions made in the first part. s&p 500 returns look nearly bimodal, with a larger positive mode and smaller negative mode 10 year treasury bills returns have small tails 9 fama french three-factor model connections to other ratio patterns estimates for the factors 1963-2000 momentum (short-term positive correlation, long-term reversals) most studied anomaly in finance (2000) 10 equity option valuation risk neutral pricing binomial trees put/call parity black scholes formula implied volatility survey: why do institutions use options? at page 200, printed landscape (should be portrait)