Advances in Equity Portfolio Construction Seminar - Course Contents
19-20 April, 2012 - London |
Course Contents and Outline Drawing on the expertise developed at EDHEC-Risk Institute, the first part of the Advances in Equity Portfolio Construction seminar equips participants with both the technical and conceptual tools that will allow them to better understand the limits and benefits of different portfolio construction approaches. The second part of the seminar discusses portfolio construction strategies applied in equity portfolio management and alternative indexing strategies.
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Seminar Programme
A typical programme day lasts from 8:30 am to 5:30 pm and is usually divided into lectures and application cases:
Day One
Portfolio Construction: Foundations and Recent Research Advances
- Theory and Design of Static and Dynamic Portfolios
- Effect of Estimation Error on Portfolio Performance
- Dealing with Estimation Error: Robust Portfolio Choice
- Dealing with Estimation Error in Expected Returns
- Dealing with Estimation Error in Correlations and Volatilities
Day Two
Implementing Portfolio Construction Concepts in Equity Investment Strategies and Advanced Beta Investing
- Limits of Traditional Passive Management
- Assessing Alternatives to Standard Cap-Weighted Benchmarks
- Relative Risk of Alternative Weighting Schemes
- Constructing Optimally Diversified Portfolios and Diversifying Model Risk
- Implementation of Alternative Betas with Relative Risk Control and under Practical Constraints
- Separating Stock Selection from Portfolio Construction:
- Achieving target risk exposures within optimally diversified portfolios: the case of a low sovereign risk equity portfolio
- Combining stock selection and optimal diversification: addressing Socially Responsible Investment constraints
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Advances in Equity Portfolio Construction Seminar:
