Advances in Asset Allocation Seminar
Agenda
A typical program day lasts from 8:30 a.m. to 5:30 p.m. and is usually divided into lectures, application cases, and Excel-based illustrations. The two class sessions in each half-day period are separated by thirty-minute refreshment breaks at 10:30 a.m. and 3:30 p.m. Lunch is served at 12:30 p.m.
| Tuesday, 12 May 2009 |
Bridging the Gap between Portfolio Theory and Portfolio Construction
Identifying paradigm shifts in the asset management industry, understanding when and why modern portfolio theory fails in the real world, making covariance matrix estimation manageable and improving parameter estimates, and incorporating active views in a Bayesian framework.
- Paradigm shifts in the asset management industry — alpha–beta separation and core–satellite investing
- From portfolio theory to portfolio construction — limits of the Markowitz model
- Implementing and improving covariance parameters estimation
- Implementing and improving estimation of expected return parameters
| Wednesday, 13 May 2009 |
Optimal Portfolio Construction in a Non-Markowitz World
Addressing the limitations of modern portfolio theory; searching for the market portfolio and identifying alternative forms of indices and benchmarks; enhancing index construction beyond modern portfolio theory; implementing alternative portfolio models that integrate non-normality risks, parameter uncertainty, and realistic risk preferences; and moving from static to dynamic beta management.
- Enhanced index construction in modern portfolio theory
- Enhanced index construction beyond modern portfolio theory
- Portfolio optimization with parameter uncertainty
- Dealing with non-normality risks and asymmetric risk preferences
- From static to dynamic beta management
| Thursday, 14 May 2009 |
Advanced Risk Budgeting and Dynamic Core–Satellite Allocation
Optimizing risk budgeting within the core–satellite architecture; implementing portable alpha and portable beta strategies; understanding how to use dynamic core–satellite investing to achieve asymmetric management of the risk; reviewing the latest advances in asset–liability management (ALM) and liability driven investment (LDI); and optimizing the benefits of alternative investments in ALM: alternative assets as diversification, substitution, and inflation hedging vehicles.
- Advanced techniques in core–satellite investing
- From asset management to ALM
- New approaches for improved investment management offerings
- Incorporating alternative investments into ALM