Page 16 - MONECO Financial Training Catalogue

PORTFOLIO CONSTRUCTION AND ASSET ALLOCATION
DATES: October 20 – 22, 2025 • PRICES: € 1,950 In-class, € 1,463 Online • LOCATION: Prague and Online

Attend this 3-day training seminar and learn about:
• Modern Portfolio Theory Course Description
Framework and going beyond This training covers the latest trends in portfolio construction and asset allocation,
MPT putting them in context of 50 years of modern portfolio theory and practice. The
approach of this course is top-down and practical, providing guidance for practitioners
• The Approaches to Forecasting how to take their asset allocation activities one step further and delivering valuable
Expected Returns insights for potential practical implementation of more advanced quantitative
techniques. The program is designed to accommodate plenum discussions and features
• Risk-Based Investment
concept applications in six group exercises.
Strategies and Estimating
Risk Target Audience
• Portfolio Construction beyond Chief investment offi cers, quantitative analysts, investment committee members, senior
Mean and Variance asset managers, investment analysts and portfolio managers.
• Tail Risk and Drawdown Risk Materials
Management Participants will receive the slides presented, spreadsheets containing example
calculations for all models and concepts discussed and important papers in PDF
• Diversifi cation in a Non-
format.
Normal and Non-Linear World

MONDAY, OCTOBER 20  Scenario-based methods: Markov  Bayesian shrinkage estimators:
00
09 –09 10 regime switching and practitioner’s Ledoit-Wolf
Welcome approaches  Filtering noise in covariances:
10
09 –12 30  Deriving returns from scores and Random Matrix Theory
Introduction ranks  Modelling and tweaking correlations:
• Contemporary Challenges  Building allocations from scores consistency issues & solutions,
 Financial Crisis of 2008 and ranks without optimizers correlation scenarios and stress
 Low-Yield Environment  Incorporating active views: relative testing
 Coronavirus Pandemic of 2020 forecasts
30
 Bayesian methods: the Black/ 12 –13 30
Review of Modern Portfolio Theory Litterman model and noise fi ltering Lunch break
(MPT) & Going Beyond MPT using shrinkage methods (James 13 –17 00
30
• From Mean-Variance Optimization to Stein estimator) Estimation Risk and Estimation Risk
the CAPM: A quick summary of MPT Management
• Applications of MPT TUESDAY, OCTOBER 21 • Estimation risk as risk in input
 Active Management 09 –12 30 parameters
00
 Liability-Aware Portfolio Risk-Based Investment Strategies & • A scenario-based approach to
Construction Estimating Risk estimation risk management
 Asset Class Investing • Risk-based approaches to investing: • The stochastic nature of effi cient
 “Passive” Investing minimum variance, risk parity, frontiers: confi dence bands, the
 Core-Satellite Approaches risk budgeting, equal-weighting, Resampled Effi cient Frontier™
• Critical Assessment and Constructive maximum diversifi cation • Distortions in risk and return estimates:
Take-Aways from MPT • Drivers of success of risk-based the impact of liquidity and survival
• Framework for Going “Beyond MPT” strategies biases, statistical unsmoothing
 The case for adaptive asset • ML (machine learning) & AI (artifi cial approaches, evidence-based multiplier
allocation in a dynamic world which intelligence) approaches
is hard to forecast  Waterfall allocations based on • Framework for an estimation-risk-aware
 Industry Trends: Factor Investing and hierarchical clustering mean-variance portfolio construction
Smart Beta  Hierarchical risk parity process
 Some general comments on ML, AI • Robust portfolio construction: modelling
30
30
12 –13 in portfolio construction uncertainty, regret minimization
Lunch break • Time-varying risk characteristics,
00
30
13 –17 empirical risk anomalies WEDNESDAY, OCTOBER 22
Expected Returns  Autocorrelation and volatility 09 –12 30
00
• The importance of expected return in clustering, GARCH models Portfolio Construction Beyond Mean
portfolio construction and challenges:  The positive relationship between and Variance
estimation risk equity risk and return over time • Risk measurement for non-normal
• Do optimizers need expected returns?  The relative importance of assets: LPM/UPM, VaR/CVaR,
Spoiler alert: no, they don’t volatilities and correlations Drawdown risk
• Approaches to forecasting expected • Estimation of the covariance matrix • Higher Moments: interpretation, uses
returns  Sample covariances, EWMA and and challenges
GARCH estimators

16 Hybrid course – both classroom and online training available.