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Asset Management Education - September 21, 2009

CFA Institute-EDHEC-Risk Advances in Asset Allocation Seminar taking place in London, Singapore and New York

Following the success met by previous editions of the Advances in Asset Allocation Seminar in Europe and the United States, where the event attracted over 150 practitioners from 24 different countries, CFA Institute and EDHEC-Risk Institute have decided to renew their partnership for the third consecutive year and to expand the seminar to Asia, with a new session taking place in Singapore.

The intensive three-day course has been designed to provide participants with an in-depth appreciation of the concepts and techniques that will shape the future of investment management and to equip them with practical tools to improve asset allocation and risk management processes, implement novel investment management approaches, and develop new products.

The first half 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 and incorporate active views in a Bayesian framework. It looks at new forms of indices and benchmarks and concludes with a presentation of portfolio optimisation models that take non-normality risks and realistic preferences into account.

The second half of the seminar is devoted to integrating liability and risk management constraints in portfolio construction. It presents the state of the art in ALM and LDI techniques, studies the place of alternative investments in ALM, and introduces novel forms of inflation-hedging portfolios. It shows how to move from risk diversification to risk hedging by introducing risk management constraints in asset allocation and implementing time- and state-dependent strategies. It examines how to use dynamic core-satellite investing to achieve dissymmetric management of the risk budget and to blend active management and risk controls. It concludes with integrative case studies of designs for long-only absolute return funds with maximum drawdown and trailing performance constraints, for dynamic strategies mixing traditional and alternative vehicles that pass the liquidity test, and for dynamic LDI strategies mitigating the costs of regulatory constraints and irreversible contributions.

The seminar will be presented by Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of EDHEC-Risk, on the following dates:

  • December 1-3, 2009 - London
  • May 18-20, 2010 - Singapore
  • July 13-15, 2010 - New York
For further information, please contact Mélanie Ruiz at AMeducation@edhec-risk.com or on: +33 (0) 493 187 819.

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