Zurich, Jun 2011 - Modern Portfolio Design with Rmetrics

Rmetrics teaches a public course in "Modern Portfolio Design with Rmetrics" for Portfolio Managers and Decision Makers in Zurich, June 24/25.. The course is organized as a satellite event to  the Rmetrics Meielisalp Workshop 2011, Switzerland.

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

Lecturers
Diethelm Wuertz, Yohan Chalabi, Mahendra Mehta

Dates
June 24/25, Zurich.

Flyer

Download the flyer for more information: Modern Portfolio Design with R/Rmetrics.

Contact and registration:
courses [at] rmetrics.org