CFA Institute / EDHEC Advances in Asset Allocation Seminar - Course Contents
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Course Contents & Outline The second Advances in Asset Allocation seminar is an intensive three-day course providing an in-depth appreciation of the concepts and techniques that will shape the future of investment management and equipping participants with practical tools to improve asset allocation processes, implement novel investment management approaches, and develop new products. |
Day 1: 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, incorporating active views in a Bayesian framework, and exploring optimisation models that take into account parameter uncertainty.
Paradigm shifts in the asset management industry – alpha-beta separation and core-satellite investing:
- Alpha-beta separation and risk management
- The core-satellite approach and risk budgeting
From portfolio theory to portfolio construction – limits of the Markowitz model:
- Feasibility issues
- Relevance issues
Implementing and improving covariance parameters estimation:
- Addressing sample risk with covariance matrix estimation and state-of-the-art factor models
- Addressing stationarity risk
Implementing and improving estimation of expected return parameters:
- Expected return estimation in the absence of active views
- Incorporating active views in a Bayesian framework
Portfolio optimisation with parameter uncertainty:
- Robust optimisation
- Re-sampled efficient frontier
Day 2: 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 and realistic preferences; moving from static to dynamic beta management.
Enhanced index construction in modern portfolio theory:
- New forms of indices and benchmarks
- Incorporating idiosyncratic risk in asset allocation
Enhanced index construction beyond modern portfolio theory:
- Statistical weighting schemes
- Fundamental weighting-schemes
Dealing with non-normality risks and asymmetric risk preferences:
- Measures, statistical significance, and persistence of non-normality risks
- Portfolio optimisation with higher moments
From static to dynamic beta management:
- From risk diversification to risk hedging
- Convergence between investment banking and asset management
Day 3: Advanced risk budgeting and dynamic core-satellite allocation:
Optimising risk budgeting within the core-satellite architecture; implementing portable alpha and portable beta strategies; understanding how to use dynamic core-satellite investing to achieve dissymmetric management of the risk budget; reviewing the latest advances in ALM and LDI; and optimising the benefits of alternative investments in ALM: alternative assets as diversification, substitution, and inflation hedging vehicles
Advanced techniques in core-satellite investing:
- Risk budgeting in the core-satellite framework
- Dynamic core-satellite management and new investment offerings
New approaches for improved investment management offerings:
- Optimal mixture of alpha and beta
- Dynamic core-satellite management
From asset management to ALM:
- A brief history of asset-liability management
- From static to dynamic LDI
Incorporating alternative investments into ALM:
- The role of hedge funds in asset-liability management
- Alternative investments in asset-liability management
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CFA Institute / EDHEC Advances in Asset Allocation Seminar:
