CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar - Course Contents
30 November - 2 December, 2010 — London |
Course Contents & Outline The Advances in Asset Allocation seminar is an intensive three-day course that will provide participants with an in-depth appreciation of the concepts and
techniques that will shape the future of investment management. The seminar will also equip them with practical tools to improve asset allocation and risk
management processes, implement novel investment management approaches, and develop new products. |
Day One
Risk diversification and the design of efficient performance-seeking portfolios—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, implementing alternative portfolio models that integrate non-normality risks and realistic preferences, searching for efficient benchmarks, and identifying alternative forms of indices and benchmarks.
Introduction
Paradigm shifts in the asset management industry
- Alpha-beta separation and risk management
- The core-satellite approach and risk budgeting
- From asset management to risk and asset management
Towards Efficient Risk Diversification—From Portfolio Theory to Portfolio Construction
Limits of the Markowitz model
- Feasibility issues
- Relevance issues
Implementing and improving covariance parameter estimation
- Addressing sample risk with covariance matrix estimation and state-of-the-art factor models
- Addressing stationarity risk
Dealing with non-normality risks and asymmetric risk preferences
- Measures, statistical significance, and persistence of non-normality risks
- Portfolio optimisation with higher moments
- Case study: implementing the optimal diversification approach to the introduction of alternative investments in portfolios
Implementing and improving estimation of expected return parameters
- Expected return estimation in the absence of active views
- Incorporating active views in a Bayesian framework
Enhanced index construction
- New forms of indices and benchmarks
- Rehabilitating the tangency portfolio
Day Two
Risk hedging and the life cycle and liability-driven investing paradigms—Efficient long-term allocation strategies for institutional, private, and retail investors
Reviewing the latest advances in ALM and LDI; examining the inflation-hedging properties of traditional and alternative investments; designing new cost-efficient forms of inflation-hedging portfolios; hedging extreme inflation risk; incorporating the sponsor perspective into ALM; accounting for long-term objectives in portfolio construction and implementing new life cycle investing (LCI) strategies.
Towards Efficient Risk Hedging—From Asset Management to Asset and Liability Management
Implementing state-of-the-art liability-hedging
- A brief history of ALM
- Beyond LDI
Integrated asset liability management decisions
- From ALM to integrated ALM
- Case study: interaction between leverage and pension funding decisions at the sponsor level and allocation decisions at the pension fund level, and implications for the pricing of pension liability streams
Accounting for the presence of long-term objectives in portfolio construction
- From short-term static portfolio selection to long-term intertemporal portfolio selection
- Case study of LCI strategies
Day Three
Risk insurance and the risk-controlled investing paradigm–Achieving long-term investment objectives while respecting short-term risk budgets and constraints
Moving from static to dynamic beta management; optimising risk budgeting within the core-satellite architecture; using dynamic core-satellite investing to achieve dissymmetric management of the risk budget; blending active management and risk management in a unified framework; designing new asset management offerings and novel LDI solutions.
Towards Efficient Risk Insurance—From Asset-Liability Management to Risk and Asset-Liability Management
From static to dynamic beta management
- From risk diversification to risk hedging
Dynamic core-satellite management and new approaches for improved investment management offerings
- Using risk budgets as ingredients in the design of the optimal portfolio strategy
Case studies of new investment management offerings
- Designing a long-only absolute return fund
- Designing a dynamic strategy mixing traditional and alternative vehicles
- Designing dedicated ALM solutions for private wealth management
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CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar:
