Investment Risk Management Seminar - Overview
2-3 November, 2011 - Sydney
The Investment Risk Management Seminar is an intensive two-day
course that will provide participants with an in-depth appreciation of
the concepts and techniques that will shape the future of investment
risk management.
Having learned through the recent crises about the limited payoffs and significant risks of excessive reliance on asset selection models, investment managers and institutional investors are showing unprecedented interest in asset allocation and risk management approaches as sources of performance.
The Investment Risk Management Seminar is an intensive two-day course that will provide participants with an in-depth appreciation of the concepts and techniques that will shape the future of investment risk 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.
The first day of the seminar focuses on bridging the gap between portfolio theory and portfolio construction to achieve efficient risk diversification. It discusses the limits of modern portfolio theory and presents solutions to address estimation issues. It includes a presentation of portfolio optimisation models that take non-normality risks and realistic preferences into account. It concludes with an application to enhanced index construction, looking at new forms of indices and benchmarks.
The second part of the seminar shows how to account for regulatory, accounting, and other short-term constraints, which requires implementing risk insurance, in addition to risk diversification and risk hedging. It introduces the risk-controlled investing paradigm, which addresses the presence of short-term risk budgets, and shows how long-term objectives and short-term constraints can be simultaneously taken into account in a comprehensive disciplined asset allocation framework. The seminar concludes with case studies of designs for long-only absolute return funds with maximum drawdown and trailing performance constraints, and for dynamic LDI strategies.
The event is presented in a highly accessible manner by instructors who combine academic expertise and industry experience. It strikes a balance between exploration of new models and a study of applications.
The programme is intended for investment management professionals who advise on or participate in the design and implementation of asset allocation policies and portfolio models, and for sell-side practitioners who develop new asset management and ALM solutions for investors.
Seminar Instructors:
- Noël Amenc, PhD, Professor of Finance at EDHEC Business School, and Director of EDHEC-Risk Institute.
- Felix Goltz, PhD, Head of Applied Research at EDHEC-Risk Institute, and Director of Research and Development at EDHEC-Risk Indices & Benchmarks.
- Stoyan Stoyanov, PhD, Professor of Finance at EDHEC Business School, and Programme Director of the MSc in Risk and Investment Management for Asia.
Key Learning Benefits:
The seminar will enable participants to:
- Bridge the gap between modern portfolio theory and practical portfolio construction to build stable models.
- Understand enhanced index and optimal benchmark construction.
- Use dynamic beta management, risk budgeting, and dynamic core-satellite allocation to refine investment management and risk management processes and design new investment solutions.
CFA Institute Continuing Education Credits:
As a participant in the CFA Institute Approved-Provider Programme, EDHEC-Risk Institute has determined that this programme qualifies for 12 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.
Investment Risk Management Seminar:
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