The purpose of this seminar is to give you a good understanding of state-of-the-art methods and tools for constructing and managing investment portfolios.
First, we explain the investment process and we discuss how the overall investment objectives and policies should be formulated within a general asset liability framework and how these policies should be reflected in the choice of benchmarks and in the delegation of relative or absolute return mandates.
We then take a closer look at the various traditional and alternative asset classes and explain how funds can be allocated to these asset classes using the optimization techniques of modern and post-modern portfolio theories. Methods include Bayesian Analysis, efficient frontier resampling, and the Black-Litterman asset allocation approach.
We also explain how dynamic asset allocation strategies such as "constant mix", "constant proportion portfolio insurance", "contingent immunization" and "option-based portfolio insurance" can be implemented to obtain the optimal risk-return profile, or to manage surplus risk, under various market conditions.
Further, we explain how "indexation" used for "passive" management and how this strategy can be enhanced through a core/satellite approach that leaves room for active management strategies to add returns beyond the benchmark indices.
After that, we explain how to manage "surplus risk" and how the increasingly popular "Risk Budgeting" technique can be used to allocate "risk units" to optimize the risk-adjusted returns across managers and asset classes. Finally, we explain the increasingly popular concept of "liability driven investing" (LDI) that focuses on considering risk on a relative basis versus liabilities when making asset allocation decisions and that measures investment success as the ability to meet future cash payments.