Advanced Risk and Portfolio Management Attilio Meucci, Ago.2012 ARPM - Brochure - v1
Advanced Risk and Portfolio Management Attilio Meucci, Ago.2012 ARPM - Brochure - v1
Advanced Risk and Portfolio Management Attilio Meucci, Ago.2012 ARPM - Brochure - v1
One Week, Heavily Quantitative, Omni-Comprehensive, Buy-Side Bootcamp by Attilio Meucci August 13-18, 2012 New York University - Kimmel Center, 60 Washington Square South, New York City symmys.com What you get Knowledge: in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in six intensive days of theory and MATLAB live examples and exercises o Market modeling: random walk, ARMA, GARCH, Levy, long memory, stochastic volatility o Multivariate statistics: non-parametric, non-normal MLE, shrinkage, robust, Bayesian estimation;
copula/marginal factorization; location-dispersion ellipsoid components analysis, random matrix theory o Pricing: full evaluation, Greeks, stress-matrix interpolation; analytical, Monte Carlo, historical o Risk analysis: diversification, stochastic dominance, expected utility, Sharpe ratio, Omega, Kappa, Sortino, value at risk, expected shortfall, coherent and spectral measures o Portfolio construction: robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication
o Factor modeling: theory and pitfalls of time-series and cross-sectional factor models, CAPM, APT, principal
Textbook: Risk and Asset Allocation - Springer by Attilio Meucci Code: full set of case studies; temporary MATLAB license Certification: All attendees will be awarded
o 40 credits - CFA Institute Continuing Education Program o 40 credits - GARP Continuing Professional Educational Program o Certificate of Attendance - Advanced Risk and Portfolio Management Bootcamp o Certificate in Advanced Risk and Portfolio Management (optional)
Meet the stars: Almgren, Carr, Derman, Dupire, Litterman, Mercurio, more What you pay $850 (Academic/Student); $1,200 (Partner); $1,550 (Professional); group rates (contact us). After expenses, profits will be donated to charities. Audience Finance professionals with quantitative background
o Portfolio managers/risk managers on the buy-side will will learn the latest developments in the field and deepen their knowledge of mainstream approaches o Sell-side professionals will bridge the gap to quantitative buy-side finance
Academics and students Instructor Attilio Meucci, PhD, CFA. Chief risk officer, Kepos Capital LP. Author, Risk and Asset Allocation - Springer. Regular contributor to Risk Magazine, GARP Risk Professional Magazine Registration / information symmys.com
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Afternoon Session
P1: Quest for Invariance P2: Estimation P3: Projection P4: Pricing P5: Aggregation P6: Attribution P7: Evaluation P8: Optimization P9: Execution P10: Ex-Post Analysis
Random walk: Levy processes Autocorrelation: Ornstein-Uhlenbeck Long memory: fractional Brownian motion Volatility clustering: stochastic volatility Volatility clustering: subordination
- Analytical projection - Numerical projection: Fast Fourier Transform; simulations - Annualization of skewness, kurtosis, etc. - Square-root/linear risk ellipsoid propagation
Pricing at investment horizon
- Equities: log-returns - Fixed-income: changes in yield to maturity - Derivatives: (log) changes in vol. surface
Advanced dynamics in discrete time
Autocorrelation and AR(1) processes ARMA processes and Wold's theorem Long memory: fractional integration Volatility clustering: GARCH
- Full analytical: log-distributions - Full numerical: scenario pricing (Monte Carlo/historical) - Taylor approximation: theta-delta/vega- gamma; carryduration-convexity - Stress-matrix approximation
- Distribution taxonomy - Representations: pdf, cdf, cf, quantiles, scenario/probabilities - Spectral theorem / covariance visualization
Copulas
Multivariate estimation Asset pricing theory Search for alpha Portfolio optimization Risk attribution/hedging
- Copulas in theory - Copulas in practice: Copula-Marginal Algorithm - Panic copulas with Fully Flexible Probabilities
Multivariate dynamics
- Swap market: PCA and Fourier basis - Stock market: fundamental, macro, random matrix theory
Factor modeling pitfalls
Systematic-idiosyncratic vs dominant-residual LFMs Distributional r-square Time-series, cross-sectional, statistical/PCA LFMs Factor analysis
Returns vs. invariants vs. P&L The idiosyncratic myth CAPM vs. APT vs. LFMs Time-horizon beta
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Estimation I (8:30-12:30)
Estimators
Estimation II (13:30-16:00)
Robust estimators
General definitions Evaluation: bias, inefficiency, error Stress-testing Generalized p-values, generalized t-statistics
- Sample quantile and order statistics. - Sample mean/covariance and best-fitting ellipsoid - Sample factor loadings, betas, and OLS
Multivariate maximum-likelihood estimators
- Assessing robustness: the influence function - Huber's "M" robust estimators: location, scatter and betas - Outlier detection and high-breakdown estimators - Minimum-volume ellipsoid and minimumcovariance determinant
Missing data
- EM algorithm - ML marginalization
- Normal hypothesis: sample estimators - Non-normal hypothesis: fat tails and outlier rejection
Shrinkage estimators
Afternoon session
Bottom-up approach Factors on Demand Portfolio-specific factor models Non-Greek few-out-of-many hedging
Investor's objectives
Semi-analytical solutions in elliptical markets Cornish-Fisher approximation Extreme value theory (EVT) Numerical solutions Contribution to VaR from securities/factors
- Expected shortfall (ES) and conditional value at risk (CVaR) - Contribution to ES from securities/factors - Spectral measures of performance
Stress Testing for estimation risk
- Basic stress testing - Panic copulas with Copula-Marginal Algorithm - Fully Flexible Probabilities (time/state/entropy pooling conditioning) - Fully Flexible Bayesian networks
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Afternoon session
problems - Linear and quadratic programming - Second order and semi-definite cone programming
Two-step heuristics
Affine equivariance of expectation and covariance Analytical mean-variance: two-fund theorem Numerical mean-variance: quadratic programming Mean-CVaR and alternative trade-offs
- Expected outperformance, tracking error, info ratio - Frontier in total-return coordinates - Frontier in relative-return coordinates
Pitfalls of mean-variance
Portfolio Management IV
Dynamic allocation strategies
- Theoretical background - Analytical solutions: Normal-Inverse Wishart model - Numerical solutions: Monte Carlo Markov Chains
Bayesian allocation
Liquidity
Entropy Pooling and Fully Flexible Views Non-normal markets Non-linear views Generalized stress-testing Ranking allocation
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20: 00 20:15: Buffet and refreshments 20: 15 20:35: Corporate Partners 20:15-20:20: Chris Donohue, Director of Research and Educational Programs - GARP 20:20-20:25: Sebastian Ceria, Founder and Chief Executive Officer - Axioma 20:25-20:30: Andy Sparks Head of Product Management - MSCI 20:30-20:35: Dan diBartolomeo President and Founder - Northfield Information Services, Inc.