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PORTFOLIO CONSTRUCTION AND ASSET ALLOCATION
• Behavioural portfolio construction: • Interesting non-normal distributions: • Taking into account correlation
implementing insights from Prospect non-normal mixture, NIG and asymmetries in portfolio construction:
Theory Cornish-Fischer distributions a closer look at equities, bonds and gold
• CVaR and LPM optimization: exact • Non-Normal Risk Budgeting based on • Non-linear correlation measures
methods and approximations Modifi ed VaR/CVaR and their limitations: the case of the
• Understanding optimization • Building non-normal portfolios from Spearman rank correlation coeffi cient
algorithms: threshold accepting, elliptical distributions • Introduction to Copula Theory: potential
simulated annealing, evolutionary • Drawdown Risk Management and current limitations
methods Tail risk versus drawdown risk
• The many uses of random portfolios CPPI 2.0 Summary and Outlook
• Multi-criteria optimization: case study Termination and Evaluation of the
30
30
calculating sustainability-effi cient 12 –13 Course
portfolios and frontiers Lunch break
00
30
13 –17
Tail Risk Management Diversifi cation in a Non-Normal
• The two types of normal distribution and Non-Linear World
assumptions in Finance • Diversifi cation is more than correlation:
overdiversifi cation, diworsifi cation
Lektor: Andreas Steiner
Andreas Steiner is an independent consultant specializing in portfolio analytics
and risk management. The services provided include training, advanced portfolio
analytics software and mandate-based projects for banks, investment managers,
institutional investors and software companies. Andreas has been teaching as a
lecturer at the Zurich University of Applied Sciences in Switzerland, where he gave
courses covering performance analysis, international investing and Behavioral
Finance. Andreas has published several articles in investment-related journals
and is making available his research online in the form of research notes and blog
entries.
Andreas has more than 15 years of working experience in institutional asset
management and private banking. He held various performance and risk-related
roles at Credit Suisse Asset Management and was head investment risk management at LGT Capital
Management. Andreas holds a master’s degree magna cum laude in Economics from the University of
Zurich with specializations in Monetary Economics and Financial Markets.
Znalosti jsou cestou …
Znalosti jsou cestou …
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