Portfolio construction in Modern Portfolio Theory (MPT) equals mean-variance optimization. It is an open secret that practitioners are struggling to implement MPT despite the many innovations proposed in the last 30 years of applied research. In this seminar, we focus exclusively on non-optimization techniques, which allow turning signal into allocations without the use of optimization algorithms. Solutions discussed range from simple rules-of-thumb heuristics, mapping techniques, risk parity ideas to promising insights from more recent quantitative research related to machine learning and related methods.
Approach: Top-down presentation focusing on the bigger picture, combined with spreadsheet example calculations which can be modified to be used in productive applications or transferred to other system environments like R, Python and similar.
Materials: Participants will receive the presentation slides, spreadsheets containing example calculations and a free license of our Excel add-in “Advanced Portfolio Analytics” (used in some of the spreadsheets).