Page 10 - MONECO Financial Training Catalogue
P. 10

PORTFOLIO CONSTRUCTION AND ASSET ALLOCATION
        DATES: June 7 – 9, 2021 • PRICES: € 1,800 In-class, € 1,350 Online • LOCATION: Prague and Online

        Attend this 3-day training seminar and learn about:

        •  Modern Portfolio Theory Framework and going beyond MPT
        •  The Approaches to Forecasting Expected Returns
        •  Risk-Based Investment Strategies and Estimating Risk
        •  Portfolio Construction beyond Mean and Variance
        •  Tail Risk and Drawdown Risk Management

        •  Diversifi cation in a Non-Normal and Non-Linear World



        This seminar is a three-day journey covering the latest trends in portfolio construction and asset allocation and
        putting them in context of 50 years of portfolio construction research. The approach of this course is top-down
        and practical, providing guidance for practitioners how to take their asset allocation activities one step further
        and delivering valuable insights for potential practical implementation of more advanced quantitative techniques.
        The program is designed to accommodate plenum discussions and features concept applications in six group
        exercises.

        Target Audience: chief investment offi cers, quantitative analysts, investment committee members, senior
        management.

        MONDAY, JUNE 7                       portfolio construction and challenges:      –  The relative importance of volatilities
          00
        09 –09 10                            estimation risk                     and correlations
         Welcome                            •  Do optimizers need expected returns?    •  Estimation of the covariance matrix
          10
        09 –12 15                            Spoiler alert: no, they don’t       –  Sample covariances, EWMA and
         Introduction                       •  Approaches to forecasting expected   GARCH estimators
         •  Contemporary Challenges          returns                             –  Bayesian shrinkage estimators
           –  Financial Crisis of 2008        –  Scenario-based methods          –  Filtering noise in covariances: Random
           –  Low-Yield Environment           –  Deriving returns from scores and   Matrix Theory
           –  Coronavirus Pandemic of 2020    ranks                              –  Modelling and tweaking correlations:
                                              –  Building allocations from scores and   consistency issues & solutions,
          Review of Modern Portfolio Theory   ranks without optimizers           correlation scenarios and stress
         (MPT) & Going beyond MPT             –  Incorporating active views: relative   testing
         •  From Mean-Variance Optimization to   forecasts                        Exercise: developing a quantitative
          the CAPM                            –  Bayesian methods: the Black/   volatility trading strategy and potential
           – Applications of MPT              Litterman model and noise fi ltering   applications for tactical asset allocation
           – Active Management                using shrinkage methods
                                                                                15
           –  Liability-Aware Portfolio        Exercise: developing a basic scenario-  12 –13 15
            Construction                     based approach to tactical asset    Lunch Break
                                                                                15
           – Asset Class Investing           allocation based on macroeconomic   13 –17 00
           – “Passive” Investing             indicators                         Estimation Risk and Estimation Risk
           – Core-Satellite Approaches                                        Management
         •  Critical Assessment and Constructive   TUESDAY, JUNE 8             •  Estimation risk as risk in input
          Take-Aways from MPT              09 –12 15                            parameters
                                             00
         •  Framework for Going “Beyond MPT”    Risk-Based Investment Strategies &    •  A scenario-based approach to
           –  The case for adaptive asset   Estimating Risk                     estimation risk management
           allocation in a dynamic World which    •  Risk-based approaches to investing:    •  The stochastic nature of effi cient
           is hard to forecast               minimum variance, risk parity, risk   frontiers: confi dence bands, the
           –  The latest industry trends: Factor   budgeting, equal-weighting, maximum   Resampled Effi cient Frontier™
           Investing and Smart Beta          diversifi cation                   •  Distortions in risk and return estimates:
            Exercise: a practical approach to    •  Drivers of success of risk-based   the impact of liquidity and survival
          take into account factor information in   strategies                  biases, statistical unsmoothing
          portfolio construction            •  Time-varying risk characteristics,   approaches, evidence-based multiplier
                                             empirical risk anomalies           approaches
          15  15
        12 –13                                –  Autocorrelation and volatility    •  Portfolio Optimisation: Markowitz
         Lunch Break                          clustering, GARCH models         •  Robust portfolio construction: modelling
          15
        13 –17 00                             –  The positive relationship between   uncertainty, regret minimization
         Expected Returns                     equity risk and return over time
         •  The importance of expected return in

               10                              Now available as a live online seminar
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