Portfolio Construction: Robust Optimisation & Risk Budgeting Strategies

London
23 & 24 April 2009
New York
27 & 28 April 2009

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Course Highlights:

• Overview of portfolio construction process
• Robust portfolio construction for volatile markets
• Exploring optimisation techniques
• Examining effective risk budgeting strategies
• Modelling correlation and volatility within a portfolio
• Tackling risk and return models under uncertain conditions
• Risk monitoring and performance attribution
• Constraints on porfolio construction

Course dates & venues

Course tutors

LONDON

Ali Chabaane
Head of Portfolio Construction, PIONEER INVESTMENT MANAGEMENT

Michael Dempster
Managing Director, CAMBRIDGE SYSTEMS ASSOCIATES LIMITED

Malcolm Kemp
Executive Director of Quantitative Research, THREADNEEDLE ASSET MANAGEMENT

David King
Head of Multi Asset Quantitative Research, SCHRODER INVESTMENT MANAGEMENT

Rosella Giacometti
Associate Professor, UNIVERSITY OF BERGAMO

Domenico Mignacca
Head of Risk Management, EURIZON CAPITAL SGR

Bernard Minsky
Head of Porfolio Analysis and Risk Management, INTERNATIONAL ASSET MANAGEMENT

Thorsten Neumann
Head of Quantitative Strategies, UNION INVESTMENT INSTITUTIONAL GMBH

Daan Potjer
Founder and Fund Manager, AETHRA ASSET MANAGEMENT

NEW YORK

Philippe Combescot
Director, Global Structuring Group, BNP PARIBAS

Alla Gil
Managing Director of Investment Banking Division Strategies, GOLDMAN SACHS

Max Giolitti
Chief Risk Officer, TAHOMA CAPITAL

Colm O'Cinneide
Senior Quantitative Researcher, DEUTSCHE ASSET MANAGEMENT

Douglas Martin
Director of Computational Finance Program, UNIVERSITY OF WASHINGTON

Joseph Masri
Head of Investment Risk Management, CANADA PENSION PLAN INVESTMENT BOARD

Elliot Noma
President, GARRET ASSET MANAGEMENT

Learning Outcomes

By the end of the course delegates will be able to:

• Gain a comprehensive insight into the various portfolio construction methods
• Understand how market conditions impact on porfolio construction
• Choose appropriate portfolio optimisation techniques
• Overcome the constraints on portfolio construction
• Learn exclusively from the experiences of leading practitioners