CFA Institute / EDHEC-Risk Institute Alternative Asset Allocation Seminar - Overview
16-18 March, 2010 - London
30 March-1 April, 2010 - New York
Together with CFA Institute, EDHEC-Risk Institute 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, concepts, and themes, presentation of state-of-the-art practical tools, and examination of best industry practices.
Course Contents:
The seminar introduces the state-of-the-art in multi-style multi-class portfolio management. It analyses the risks and return drivers and the conditional performance of the various alternative asset classes and strategies.
It shows how to deal with non-Gaussian returns, illiquid assets, and flawed data and to account for extreme risks in multi-style multi-class portfolio optimisation. It presents qualitative techniques to control asset-class exposures and manage liquidity, valuation, and counterparty risks, and surveys quantitative tools for portfolio-wide risk management.
It then presents novel financial engineering techniques to optimise risk budgeting when alternative assets are added to institutional portfolios. The seminar shows how to use alternative investments to improve risk budgets in asset management and liability driven investment (LDI) programmes and design new cost-efficient forms of inflation-hedging portfolios. It discusses quantitative techniques to maximise the diversification benefits of alternative assets and presents dynamic strategies for optimal blending of traditional and alternative beta, and optimal substitution of traditional classes.
The seminar concludes with an in-depth exploration of the new frontiers in alternative investments. It assesses the potential of volatility as an asset class, looking at its diversification and downside equity risk hedging properties and reviews volatility products and strategies. It explores green investing as an investment theme, analyses the risk/return profiles of green investment opportunities, and provides advice on how to allocate assets to green investing. Finally, the seminar discusses best-in-class techniques for extreme risk management.
Seminar Instructors:
- François-Serge Lhabitant, PhD, Affiliated Professor of Finance at EDHEC Business School and a member of EDHEC-Risk Institute, and Chief Investment Officer at Kedge Capital.
London, New York - Lionel Martellini, PhD, Professor of Finance at EDHEC Business School, and Scientific Director of EDHEC-Risk Institute.
London, New York - Peter Carr, PhD, Head of Quantitative Financial Research at Bloomberg LP.
New York - Nicolas Mougeot, PhD, Managing Director, and Global Head of
Equity Derivatives and Quantitative Strategy at Deutsche Bank.
London - Russell Read, PhD, Senior Managing Partner of C Change Investments, a private equity firm investing in companies that address resource limits in energy, water, food, air and materials, and former Chief Investment Officer of CalPERS.
London, New York - 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.
London, New York
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.
- Examine green investing as a super-investment theme.
- Review best industry practices in the fields of 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 Credits:
As a participant in the CFA Institute Approved-Provider Programme, EDHEC-Risk has determined that this programme qualifies for 21 credit hours. If you are a CFA Institute member, continuing education credit for your participation in this programme will be automatically recorded in your CE Diary. Please see www.cfainstitute.org/ceprogram for more information.
CFA Institute / EDHEC-Risk Institute Alternative Asset Allocation Seminar:
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