EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC Surveys Research News Research Papers Books Features Interviews Indexes and Benchmarking EDHEC Alternative Indexes Hedge Fund Indices Literature EDHEC's Position on the Eligibility of Hedge Fund Indices for UCITS Assessing the Quality of Stock Market Indices EDHEC European ETF Survey Core-Satellite Investing Style and Performance Analysis Hedge Fund Performance EuroPerformance-EDHEC Style Ratings Alpha League Table IPE-EDHEC Institutional Asset Management Awards (IAMA) Rating the Ratings Performance Measurement for Traditional Investment Asset Allocation and Alternative Diversification EDHEC European Alternative Diversification Practices Survey Hedge Fund Style Allocation EDHEC Funds of Hedge Funds Reporting Survey The Amaranth Case The Hedge Fund Debate Core-Satellite Investing Morgan Stanley Investment Management "Financial Engineering and Global Alternative Portfolios for Institutional Investors" Research Chair Asset Allocation and Derivative Instruments Structured Forms of Investment Strategies FBF "Structured Products and Derivatives" Research Chair Use of Derivatives in Asset Management ALM and Asset Management Solvency II Impact of IFRS & Solvency II on ALM & AM in Insurance Companies Managing Pension Assets Benefits of Hedge Funds in ALM ALM Decisions in Private Banking AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair ORTEC Finance "Private Asset-Liability Management" Research Chair Best Execution and Operational Performance MiFID TCA in Europe: Current & Best Practices Mitigating Hedge Funds Operational Risks CACEIS, NYSE Euronext and SunGard "MiFID & Best Execution Research Chair" Events Events organised by EDHEC EDHEC PhD in Finance European Roadshow, September/October, 2008 Miffre & Till State-of-the-Art Commodities Investing Seminar, New York, 21-22 October, 2008 CFA Institute/EDHEC Advances in Asset Allocation Seminar, London, 17-19 November 2008 EDHEC Alternative Investment Days 2008, London, 9-10 December, 2008 CAIA Review Seminars, London and Paris, January/February 2009 CFA Institute/EDHEC Advances in Asset Allocation Seminar, New York, 12-14 May 2009 Events involving EDHEC's participation EDHEC Publications Reports, Surveys and Position Papers Academic Publications All EDHEC Publications Investment Management Review Editorial Policy Subscriptions EDHEC Risk and Asset Management Research Centre Presentation Research Programmes Research Chairs International Advisory Board Partners Team EDHEC-Risk News Press Releases EDHEC in the Press Careers EDHEC Business School EDHEC Asset Management Education EDHEC PhD in Finance Asset Management Seminars CAIA Preparation Contact Us Contact Us
EDHEC-Risk Information

CFA Institute / EDHEC First Annual Advances in Asset Allocation Seminar

 17-19 March, 2008 - The Dorchester, London

Course 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.
[View full programme]

CFA Institute / EDHEC First Annual Advances in Asset Allocation Seminar:

*Fundamental Index® is a trade mark of Research Affiliates, LLC

Attachments

Brochure