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EDHEC-Risk Executive Education

Portfolio Construction and Risk Budgeting in Practice Seminar - Overview

25-27 August, 2011 - Singapore

Designed and delivered by a leading authority on portfolio construction, this course is devoted to bridging the gap between portfolio theory and practical portfolio construction and building viable, stable, and realistic portfolio models, taking into account the lessons from the global financial crisis.

Portfolio construction – meaning the optimal implementation of a set of “signals” generated by strategists, asset allocators, analysts and the like – is now at the centre of any modern investment process.

At realistic levels of investment skill, optimal portfolio construction does make a huge difference, giving an information ratio about four times higher than that of the naive method. There is thus good reason for a focus on portfolio construction methods with a sound analytical basis.

Designed and delivered by a leading authority on portfolio construction, this course is devoted to bridging the gap between portfolio theory and practical portfolio construction and building viable, stable, and realistic portfolio models, taking into account the lessons from the global financial crisis.

It aims to provide a comprehensive treatment of alternative portfolio construction techniques, ranging from traditional methods based on mean-variance and lower partial moments approaches, through Bayesian techniques, to more recent developments such as portfolio resampling and stochastic programming solutions using scenario optimisation.

The course looks at feasibility and relevance issue with traditional portfolio models and introduces techniques to make covariance matrix estimation feasible, improve parameter estimates, address data limitations, and deal with illiquid asset classes.

It presents methods to implement alternative portfolio models that account for non-normality risks, estimation error and parameter uncertainty, prior knowledge, realistic risk preferences, and transaction costs.

Finally, it discusses scenario optimisation and its applications.

The course targets primarily practitioners, including portfolio managers, consultants, strategists, marketers, and quantitative analysts. It is intended to be accessible to the mathematically interested practitioner who has a basic understanding of calculus, matrix algebra, and statistics.

Seminar Instructor:

  • Bernd Scherer, PhD, Affiliate Professor of Finance at EDHEC Business School.

Key Learning Benefits:

The seminar will enable participants to:

  • Address practical issues with traditional models: implement benchmark-relative optimisation, apply Bayesian techniques, deal with the curse of dimensionality, and resolve data problems.

  • Explore advanced techniques: apply portfolio resampling, implement constrained optimisation for robust portfolio construction, optimise transaction costs and turnover constraints.

  • Deal with non-normality and non-standard preferences: review the lower partial moments approach, include options into portfolio construction, and understand scenario optimisation.

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 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.

Portfolio Construction and Risk Budgeting in Practice Seminar: