CFA Institute / EDHEC First Annual Advances in Asset Allocation Seminar
17-19 March, 2008 - The Dorchester, LondonCourse Contents
The seminar addresses estimation issues and model shortcomings to optimise portfolio construction in a world that does not conform to the tenets of modern portfolio theory. It explores optimal risk budgeting techniques in the context of core-satellite investing and applies them to the design of long-only absolute return funds and new liability driven investment (LDI) solutions. It also looks at the potential of alternative classes and strategies as diversification and substitution vehicles and imparts research-based insights into the Fundamental Index® strategy*, optimal benchmarks, and efficient indices.
Outline
Day 1: Improving Portfolio Construction in a Non-Markowitz World:
► Bridging the Gap between Modern Portfolio Theory and Portfolio Construction:
- From portfolio theory to portfolio construction—limits of the Markowitz model
- Implementing and improving parameter estimation
- Dealing with non-normality risks and asymmetric risk preferences
- Using Bayesian analysis in portfolio construction
Day 2: Advanced Risk Budgeting and Dynamic Core-Satellite Allocation:
► Risk Budgeting and the Core-Satellite Framework:
- Risk management: asset vs. risk allocation, absolute vs. relative-return risk, asset vs. liability relative risk budgeting.
- Risk budgeting: measuring and decomposing risk; benefits of the core-satellite organisation; financial engineering and core-satellite architecture.
► Dynamic Core-Satellite Management and New Investment Offerings:
- Dynamic core-satellite allocation: principles, derivation and implementation of the model.
- Designing long-only absolute return funds with dynamic core-satellite management.
- Developing dynamic liability-driven investment products.
Day 3: New Forms of Alternative Diversification, Indices and Benchmarks:
► New Forms of Alternative Diversification:
- Alternative investments in the core portfolio: return enhancement vs. risk reduction; diversification vs. substitution; AM vs. ALM perspective.
- Optimal risk diversification: selecting alternative classes and strategies to maximise diversification; measuring and managing higher-moment benefits.
- Optimal substitution: optimal use of beta sources, dynamic management of the alpha and beta risk budgets.
► New Forms of Indices and Benchmark:
- Understanding and assessing Fundamental Index® strategy* products.
- Designing optimally diversified benchmarks with sector and style indices.
- Introducing new forms of efficient indices.
CFA Institute / EDHEC First Annual Advances in Asset Allocation Seminar:
*Fundamental Index® is a trade mark of Research Affiliates, LLC
Attachments
