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CFA Institute / EDHEC Alternative Asset Allocation Seminar - Overview

17-19 March, 2009 - The Dorchester, London

Together with CFA Institute, the EDHEC Risk and Asset Management Research Centre has introduced seminars that take stock of the latest industry trends and research advances and clarify the distinction between true innovation and mere marketing claims.

The Alternative Asset Allocation Seminar is an intensive three-day course that will impart advanced concepts and practical tools for optimal construction and risk management of multi-style multi-class portfolios. It will also enable participants to derive the full benefits of alternative investments for asset management and asset-liability management (ALM) while controlling for their specific risks.

Presented in a highly accessible manner by a team of instructors with established reputations for bringing together academic expertise and industry experience, the seminar combines exploration of innovative models and concepts, presentation of state-of-the-art practical tools, and case studies of best industry practices.

Course Contents:

This seminar analyses the sources of risks and returns and the conditional performance of various alternative classes and strategies.

It shows how to deal with non-Gaussian returns, illiquid assets, and low-frequency data to optimise multi-style multi-class portfolio construction and presents tools for operational and portfolio-wide risk management of portfolios with alternatives.

It then looks at the use of alternative investments for financial engineering in both asset management and liability driven investment contexts, introduces new forms of inflation-hedging portfolios with alternative investments, and presents new models and techniques to maximise the diversification benefits of alternative assets and to implement optimal substitution of traditional assets.

The seminar concludes with an in-depth consideration of volatility as an asset class and with two case studies illustrating sources of synthetic liquidity and synthetic risk management techniques for portfolios with illiquid assets.

Seminar Instructors:

  • François-Serge Lhabitant, PhD, Associate Professor of Finance at EDHEC Business School, Professor of Finance at the University of Lausanne, and Chief Investment Officer at Kedge Capital.

  • Lionel Martellini, PhD, Professor of Finance at EDHEC Business School, and Scientific Director of the EDHEC Risk and Asset Management Research Centre.

  • Nicolas Mougeot, PhD, Managing Director and European Head of Global Equity Derivatives Strategy Group at Deutsche Bank

  • Christophe Reech, Chairman and founder of the Reech AiM Group S.A., an alternative investment group specialising in global markets, natural resources, and real estate.

  • Etienne Rouzeau, PhD, Director and Head of Allocation and Risks with Allianz Alternative Asset Management (AAAm), the fund of hedge fund operation of Allianz Global Investors.

Key Learning Benefits:

The seminar will enable participants to:

  • Understand the risks, return drivers, and conditional return characteristics of hedge funds, commodities, private equity, real estate, and emerging alternative assets.

  • Find out how to build resilient multi-style multi-class portfolios.

  • Learn to use alternative investments to improve the risk budgets in asset management and LDI programmes.

  • Explore the potential of volatility for portfolio diversification and hedging of downside equity risk.

  • Review best industry practices in the fields of synthetic liquidity and extreme risk management.

Who Should Attend:

  • The programme is intended for investment management professionals who advise on or participate in the design and implementation of asset allocation and risk management policies, and for sell-side practitioners who develop new asset management and ALM solutions for investors.

  • It is especially relevant to those who need to optimise the construction and management of alternative and multi-style multi-class solutions or examine the means—as well as the benefits—of making alternative classes and strategies an integral part of portfolios.

CFA Institute Continuing Education Programme:

EDHEC Asset Management Education is registered with CFA Institute as an Approved Provider of the Continuing Education Programme. This seminar qualifies for 20 CE credits under the guidelines of the CFA Institute Continuing Education Programme. Please see www.cfainstitute.org/ceprogram for more information.

CFA Institute / EDHEC Alternative Asset Allocation Seminar: