Villa Hatt Rmetrics Summer Workshop 2016

10th R/Rmetrics Summer Workshop 2016

Hedging Risk in Tumbling Markets: Systematic Tactical Asset Allocation Strategies and Quantitative Investment Models

24 - 25 June 2016, ETH Zurich, Villa Hatt

Sponsored by:

Thursday (June 23)

19:00 Welcome Apéro on occasion of the 10th anniversary of the Rmetrics Summer Workshops.

Friday (June 24)

Morning: Tactical Asset Allocation

08:00 Welcome Coffee / Registration
09:00 Daniel Sütterlin, Swiss Federal Pension Fund PUBLICA, Berne CH Tactical Asset Allocation at PUBLICA
10:00 Jan Witte, Record Currency Management, Windsor UK Tactical Asset Allocation (TAA) and Cashflow Planning
11:00 Cofee Break
11:30 Tobias Setz, Swiss Federal Institute of Technology (ETH), Zurich CH Impact of Stability Concepts on Investment Strategies
12:30 Lunch

Afternoon I: Fund and Portfolio Design

14:00 Aureliano Gentilini, Consultant, Zurich CH The Triumph of Non-­Cap-­Weighted Schemes – A Smart­‐Beta Model Portfolio
14:45 Diethelm Würtz, Swiss Federal Institute of Technology (ETH), Zurich CH Analysing Stability during Turbulent Market Periods - New Strategic Benchmark Concepts
15:30 Cofee Break

Afternoon II: R and R/Shiny Porgramming

16:00 Stefan Theussl, Raiffeisen Research, Vienna AT Portfolio Optimization Using R/ROI
16:45 Henry Clausen, Swiss Federal Institute of Technology (ETH), Zurich CH R/AMPL Optimization Environment and Portfolio Dashboard
18:00 Barbecue in the Garden of Villa Hatt

Saturday (June 25)

Morning: Modelling Structural Changes and Breaks

08:00 Welcome Coffee
09:00 John W. Emerson, Yale University, New Haven US A gentle Introduction to Markov Chain Monte Carlo
10:00 Rosângela Helena Loschi, Federal University of Minas Gerais, Belo Horizonte BR Bayesian Robustness in Product Partition Models
11:00 Cofee Break
11:30 Felix Fernandez, Rmetrics, Zurich CH From Theory to Practice - Applied Stability Concepts for Financial Markets
12:30 Closing Address followed by Business Lunch

The final titles of the presentations and an abstract booklet will be published soon.

Participation Fees

CHF 1480.00 for Professionals and CHF 680.00 for Academics.
Note, the Rmetrics Association is a non-profit taking organisation supporting student internships, scientific seminars and workshops.


Swiss Federal Institute of Technology (ETH) Zurich and Rmetrics Association Zurich.
Conference Chair: Professor Diethelm Würtz (ETH Zurich)
Conference Office: Tobias Setz (ETH Zurich)

Further Information

Please contact:
Download: Broschure Villa Hatt
Previous Event: Workshop 2015