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Modern Asset Allocation & Portfolio Construction

London Financial Studies
En London (Inglaterra), New York (Estados Unidos) ySingapore (Singapur) y 1 sede más.
  • London Financial Studies


Exhaustive content with high dedicated and pedagogic speaker. The (small) size of the group allowed us to interact in a very constructive way.


Información importante


This programme covers the latest trends in quantitative modelling for asset allocation and portfolio construction, using new approaches that move away from static asset class investing to a dynamic process considering risk factors and regime changes.

Innovations suggested over the last ten years are contrasted with current industry practice and illustrated with examples with an eye for practical implementation.

Six practical workshops simulate real life key decisions in asset allocation and portfolio construction. Mathematical concepts are discussed and illustrated using Excel spreadsheets that delegates can take away.


Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Chief Investment Officers
Portfolio and investment managers
Fund and wealth managers
Treasury and liquidity managers
Risk managers

Requisitos: Basic knowledge of financial markets, asset classes and derivative instruments Elementary mathematics and statistics (probability distributions mean, variance and correlation) Microsoft Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
22 mayo 2017
34 Curlew Street, se12nd, London, Inglaterra
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15 abril 2017
New York
New York, Estados Unidos
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03 julio 2017
The Finexis Building, Singapore, Singapur
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A elegir
New South Wales, Australia
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Lo mejor Exhaustive content with high dedicated and pedagogic speaker. The (small) size of the group allowed us to interact in a very constructive way.

A mejorar Nothing.

Curso realizado: Mayo 2016 | Recomendarías este centro? Sí.

¿Qué aprendes en este curso?

Risk Management
Investment Management
IT risk
Construction Training
Financial markets
Asset Allocation
Risk Managers
Risk Expectations
Chief Investment Officers


Day One

Review of MPT and Traditional Asset Allocation Practice
The impact of the Financial Crisis on investment management
  • Review of Modern Portfolio Theory (MPT) discussion of pre course readings and questions
  • Issues of traditional asset allocation industry practice
    - Pseudo asset classes & diversification
    - Risk characteristics of fixed weight policy portfolios
    - Investment horizons and time variable risk and return characteristics
    - Drivers of the success of rebalancing strategies
    - Risk perception: tolerance for interim risk versus terminal wealth risk
Workshop: Factor risk budgeting in a mean variance framework

Overview Newer Approaches to Asset Allocation
  • The need for flexible asset allocations: moving from static portfolio risk to managing portfolio risk and return over time
  • Industry Trends: “Smart Beta” and “Factor Investing”
    - Overview and critical discussion their potential in portfolio construction
    - Common misunderstandings
    - Overview factor modelling approaches
    - Factor research versus factor investment issues
    - Factor efficient portfolio construction
Expected Returns
  • Return Based Strategies:
    - Passive & adaptive asset allocation
    - Overview dynamic asset allocation
    - Tactical asset allocation
  • Estimating expected returns
    - Scenario based approaches to return estimation
    - Incorporating active views
    - Black/Litterman & Introduction to Bayesian statistics
    - Applied return forecasting techniques: scoring and ranking techniques
    - Dealing with forecast confidence
Workshop: A simple macroeconomic approach to risk and return estimation

Day Two

Risk Expectations & Risk Based Investing
  • Risk based investment strategies
    - Minimum variance
    - Risk parity
    - Risk budgeting
    - Equal weighted
  • Time varying risk characteristics
    - Autocorrelation & volatility clustering
    - Introduction to GARCH
    - Comparison of volatilities and correlation dynamics
  • Drivers of the success of low risk investment strategies
    - Market risk anomalies
    - Understanding the positive relationship between risk and return
  • Covariance matrix estimation
    - Sample covariance, EWMA & GARCH covariance
    - Manually tweaking the correlation matrix
    - Statistical factor models: PCA
    - Bayesian shrinkage estimators
    - Noise filtering with random matrix theory
Workshop: A Bayesian interpretation of risk based investment strategies

Estimation Risk and Its Management
  • Implications of uncertainty in expected returns and risk
  • A scenario approach to explicitly taking into account uncertainty in expected returns and correlations
  • The statistical nature of the efficient frontier: from confidence bands to the Resampled Efficient Frontier™
  • Distorted risk and return: the impact of illiquidity, survivorship bias
  • Robust portfolio construction approaches
Workshop: Developing a quantitative volatility trading strategy

Quantitative Portfolio Construction beyond Mean and Variance
  • Overview risk measures beyond volatility
  • Higher moments: their use in risk measurement and portfolio construction and estimation risk issues
  • CVaR and LPM/UPM optimization
  • Behavioural Portfolio Construction: Applying insights from Prospect Theory
  • Random portfolios & convex hulls
  • Understanding the advanced optimization algorithms: threshold accepting, simulated annealing, genetic optimizer
  • Multi criteria portfolio optimization: Example sustainability efficient portfolios
Day Three

Selected Topics in Quantitative Analysis – Part I
  • Tail risk management
    - The normal distribution assumption
    - Non normal distributions: Cornish Fisher, NIG, Normal Mixtures
    - Risk Budgeting with Modified VaR/CVaR
    - Modelling fat portfolio tails with elliptical distributions
Selected Topics in Quantitative Analysis – Part II
  • Dependence & Correlation
    - Diversification is more than correlation: overdiversification and diworsification
    - Taking into accounting asymmetries in correlations: equities, bonds and gold
    - Introduction to copula theory
    - Applications of copula theory: Analysing bivariate “pure” dependency and simulating dependent non normal return time series
Workshop: Decision making under uncertainty in a scenario framework

Model Risk Management
  • The reality of financial markets: is it risk or uncertainty?
  • Decision making under uncertainty: minimum regret, minimax, maximax & Hurwitz criteria
  • Methodological aspects in backtesting
  • The trade off between estimation and model risk in applied quantitative modelling
  • Outlines of a model risk management framework
Este curso está en español. Traducir al inglés