Modern Asset Allocation & Portfolio Construction

4.4
7 opinions
  • Andreas is extremely competent, he has many practical examples in portfolio analysis. I recommend the course to professionals who want to expand their quantitative tool kits.
    |
  • I was extremely pleased with the course, it offered exactly what I wanted. Andreas is a great teacher and he explains everything in detail with practical examples.
    |
  • Andreas is a great tutor, he combines advices with a theoretical approach and intuition. The examples helped me clarify some parts. The course is really helpful
    |

In London, New York (USA) and Singapore (Singapore)

£ 3001-4000

Description

  • Duration

    3 Days

Description

This programme covers the latest trends in quantitative modelling for asset allocation and portfolio construction, using new approaches that move away from static asset class investing to a dynamic process considering risk factors and regime changes.

Innovations suggested over the last ten years are contrasted with current industry practice and illustrated with examples with an eye for practical implementation.

Six practical workshops simulate real life key decisions in asset allocation and portfolio construction. Mathematical concepts are discussed and illustrated using Excel spreadsheets that delegates can take away.

Benefit

Facilities

Location

Starts

London
See map
34 Curlew Street, se12nd

Starts

On request
New York (USA)
See map

Starts

On request
Singapore (Singapore)
See map
The Finexis Building

Starts

On request

To take into account

Chief Investment Officers Portfolio and investment managers Fund and wealth managers Treasury and liquidity managers Risk managers Traders Strategists

Basic knowledge of financial markets, asset classes and derivative instruments Elementary mathematics and statistics (probability distributions mean, variance and correlation) Microsoft Excel

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Opinions

4.4
fantastic
  • Andreas is extremely competent, he has many practical examples in portfolio analysis. I recommend the course to professionals who want to expand their quantitative tool kits.
    |
  • I was extremely pleased with the course, it offered exactly what I wanted. Andreas is a great teacher and he explains everything in detail with practical examples.
    |
  • Andreas is a great tutor, he combines advices with a theoretical approach and intuition. The examples helped me clarify some parts. The course is really helpful
    |
86%
4.4
fantastic

Course rating

Recommended

Centre rating

Former Student

5.0
24/05/2017
What I would highlight: Andreas is extremely competent, he has many practical examples in portfolio analysis. I recommend the course to professionals who want to expand their quantitative tool kits.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

5.0
24/05/2017
What I would highlight: I was extremely pleased with the course, it offered exactly what I wanted. Andreas is a great teacher and he explains everything in detail with practical examples.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

4.0
24/05/2017
What I would highlight: Andreas is a great tutor, he combines advices with a theoretical approach and intuition. The examples helped me clarify some parts. The course is really helpful
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

4.0
19/12/2016
What I would highlight: The course covered a broad area, it helped me gain new insights and to deepen existing knowledge. The course has an extra reading list and spreadsheets if you want to further deepen a certain topic.
What could be improved: Nothing.
Would you recommend this course?: Yes

Former Student

4.0
12/12/2016
What I would highlight: The course was very good. The topics were very well explained by the teacher. It gave me a deeper knowledge of SAA modeling and portfolio construction. The materials and exercises gave us a deeper understanding of the topic.
What could be improved: Nothing.
Would you recommend this course?: Yes

Christian Morresi

4.5
17/10/2016
What I would highlight: Mr. Steiner was an excellent tutor, I think the best I have had in all the financial training I have attended. Thank you for all the classes and things you taught us, it was a great experience.
What could be improved: Nothing.
Would you recommend this course?: No

Anonymous

4.5
25/05/2016
What I would highlight: Exhaustive content with high dedicated and pedagogic speaker. The (small) size of the group allowed us to interact in a very constructive way.
What could be improved: Nothing.
Would you recommend this course?: Yes
Reviews gathered by Emagister & iAgora

Achievements for this centre

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 12 years

Subjects

  • IT risk
  • Risk
  • Construction Training
  • Construction
  • Investment
  • Returns
  • Industry
  • Budgeting
  • Asset Allocation
  • Risk Expectations
  • Investment Management
  • Methodological
  • Risk Management
  • Chief Investment Officers
  • Correlation
  • Risk Managers
  • NIG
  • Financial markets
  • Portfolio

Teachers and trainers (1)

 Andreas  Steiner

Andreas Steiner

Teacher

Andreas Steiner has over 10 years of practical experience in investment management. He has held performance and risk-related roles in banks and fund management companies and was Head of Investment Risk Management at a private bank in Switzerland. Mr Steiner is an external lecturer at the Zurich University of Applied Sciences and holds a Master's degree magna cum laude in Economics from the University of Zurich with specializations in Monetary Economics and Financial Markets. He has a wide range of publications on asset allocation and portfolio construction.

Course programme

Day One

Review of MPT and Traditional Asset Allocation Practice
The impact of the Financial Crisis on investment management
  • Review of Modern Portfolio Theory (MPT) discussion of pre course readings and questions
  • Issues of traditional asset allocation industry practice
    - Pseudo asset classes & diversification
    - Risk characteristics of fixed weight policy portfolios
    - Investment horizons and time variable risk and return characteristics
    - Drivers of the success of rebalancing strategies
    - Risk perception: tolerance for interim risk versus terminal wealth risk
Workshop: Factor risk budgeting in a mean variance framework

Overview Newer Approaches to Asset Allocation
  • The need for flexible asset allocations: moving from static portfolio risk to managing portfolio risk and return over time
  • Industry Trends: “Smart Beta” and “Factor Investing”
    - Overview and critical discussion their potential in portfolio construction
    - Common misunderstandings
    - Overview factor modelling approaches
    - Factor research versus factor investment issues
    - Factor efficient portfolio construction
Expected Returns
  • Return Based Strategies:
    - Passive & adaptive asset allocation
    - Overview dynamic asset allocation
    - Tactical asset allocation
  • Estimating expected returns
    - Scenario based approaches to return estimation
    - Incorporating active views
    - Black/Litterman & Introduction to Bayesian statistics
    - Applied return forecasting techniques: scoring and ranking techniques
    - Dealing with forecast confidence
Workshop: A simple macroeconomic approach to risk and return estimation

Day Two

Risk Expectations & Risk Based Investing
  • Risk based investment strategies
    - Minimum variance
    - Risk parity
    - Risk budgeting
    - Equal weighted
  • Time varying risk characteristics
    - Autocorrelation & volatility clustering
    - Introduction to GARCH
    - Comparison of volatilities and correlation dynamics
  • Drivers of the success of low risk investment strategies
    - Market risk anomalies
    - Understanding the positive relationship between risk and return
  • Covariance matrix estimation
    - Sample covariance, EWMA & GARCH covariance
    - Manually tweaking the correlation matrix
    - Statistical factor models: PCA
    - Bayesian shrinkage estimators
    - Noise filtering with random matrix theory
Workshop: A Bayesian interpretation of risk based investment strategies

Estimation Risk and Its Management
  • Implications of uncertainty in expected returns and risk
  • A scenario approach to explicitly taking into account uncertainty in expected returns and correlations
  • The statistical nature of the efficient frontier: from confidence bands to the Resampled Efficient Frontier™
  • Distorted risk and return: the impact of illiquidity, survivorship bias
  • Robust portfolio construction approaches
Workshop: Developing a quantitative volatility trading strategy

Quantitative Portfolio Construction beyond Mean and Variance
  • Overview risk measures beyond volatility
  • Higher moments: their use in risk measurement and portfolio construction and estimation risk issues
  • CVaR and LPM/UPM optimization
  • Behavioural Portfolio Construction: Applying insights from Prospect Theory
  • Random portfolios & convex hulls
  • Understanding the advanced optimization algorithms: threshold accepting, simulated annealing, genetic optimizer
  • Multi criteria portfolio optimization: Example sustainability efficient portfolios
Day Three

Selected Topics in Quantitative Analysis – Part I
  • Tail risk management
    - The normal distribution assumption
    - Non normal distributions: Cornish Fisher, NIG, Normal Mixtures
    - Risk Budgeting with Modified VaR/CVaR
    - Modelling fat portfolio tails with elliptical distributions
Selected Topics in Quantitative Analysis – Part II
  • Dependence & Correlation
    - Diversification is more than correlation: overdiversification and diworsification
    - Taking into accounting asymmetries in correlations: equities, bonds and gold
    - Introduction to copula theory
    - Applications of copula theory: Analysing bivariate “pure” dependency and simulating dependent non normal return time series
Workshop: Decision making under uncertainty in a scenario framework

Model Risk Management
  • The reality of financial markets: is it risk or uncertainty?
  • Decision making under uncertainty: minimum regret, minimax, maximax & Hurwitz criteria
  • Methodological aspects in backtesting
  • The trade off between estimation and model risk in applied quantitative modelling
  • Outlines of a model risk management framework

Modern Asset Allocation & Portfolio Construction

£ 3001-4000