New York, Sep 2011 - Portfolio Selection and Optimization in Practice

Rmetrics teaches a course in "Portfolio Selection and Optimization in Practice" for Portfolio Managers and Decision Makers in New York, September 8/9. The course is organized together with Revolution Analytics.

Topics:

  • Lecture 1 - Portfolio Optimization from Scratch:
    • Portfolio Construction
    • Markowitz Mean Variance Portfolios
    • Scenario Optimization - MAD Portfolios
  • Lecture 2 - Portfolio Solver Factory:
    • LP, QP NLP Mathematical Programming
    • R/AMPL Solver Interface
    • Coin-Or Optimization Infrastructure
  • Lecture 3 - Rmetrics' General Portfolio Framework: 
    • Robust Portfolios, Robust Covariance Estimation
    • Factor Models
    • Risk Budget Constraints
    • Copulae Tail Risk Constraints
    • Scenario Optimization, Mean-CVaR Portfolios
    • General Risk Measures
  • Lecture 4 - Rmetrics' Portfolio Backtesting Framework: 
    • Rolling Portfolio Backtests
    • Investment Strategies
    • Rebalancing Concepts
    • Performance Analysis

Instructors
Diethelm Wuertz, Stephan Theussl, Mahendra Mehta

Dates
September 8/9, New York.

Contact and Registration:
Revolution Analytics