CFA Institute / EDHEC-Risk Advances in Asset Allocation Seminar - Course Contents
13-15 July, 2010 - New York |
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. |
Part one: Bridging the gap between portfolio theory and portfolio construction
Day One
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, searching for the market portfolio, 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
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
Implementing alternative portfolio models that integrate non-normality risks and realistic preferences.
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
Part two: Integrating liability and risk management constraints in portfolio construction
Day Two
Reviewing the latest advances in ALM and LDI; optimising the benefits of alternative investments in ALM: alternative assets as diversification, substitution, and inflation-hedging vehicles; reviewing the inflation-hedging properties of traditional and alternative investments; designing new cost-efficient forms of inflation-hedging portfolios; hedging extreme inflation risk.
Towards Efficient Risk Hedging—From Asset Management to Asset and Liability Management
Accounting for the presence of liability constraints in portfolio construction
- A brief history of ALM
- Improving the performance-seeking portfolio versus improving the liability-hedging portfolio
State-of-the-art inflation hedging
- Inflation-hedging properties of traditional and alternative investment strategies
- New forms of inflation-hedging portfolios with alternative investments
Day Three
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
- Using risk-budgets as ingredients in the design of the optimal portfolio strategy
Dynamic core-satellite management and new approaches for improved investment management offerings
- Dynamic core-satellite management
- Convergence of investment banking and asset management
Case studies of new investment management offerings
- Designing a long-only absolute return fund
- Designing a dynamic strategy mixing traditional and alternative vehicles
Capstone Case Study: Designing dynamic LDI strategies to minimize the costs of regulatory constraints
- Understanding the impact of regulatory and accounting constraints in asset-management and ALM; measuring the costs of regulatory short-termism.
- Defining risk budgets from an ALM perspective; implementing dynamic LDI strategies; optimising regulatory constraints; designing optimal portfolio strategies with irreversible contributions.
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CFA Institute / EDHEC-Risk Advances in Asset Allocation Seminar:
