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20. - 22. 10. 2025

Portfolio Construction and Asset Allocation

Přihlásit se Agenda Program Online
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Místo
Praha, hotel NH Prague
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Cena
49.500 Kč + DPH
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Lektor
Andreas Steiner
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Jazyk
Angličtina
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Hodnocení
New
Hybrid Training
Hybrid
K dispozici jak prezenční, tak online školení
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Cena pro online školení
37.125 Kč + DPH
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Attend this 3-day training seminar and learn about:

Modern Portfolio Theory Framework and going beyond MPT
The Approaches to Forecasting Expected Returns
Risk-Based Investment Strategies and Estimating Risk
Portfolio Construction beyond Mean and Variance
Tail Risk and Drawdown Risk Management
Diversification in a Non-Normal and Non-Linear World
Course Description
This training covers the latest trends in portfolio construction and asset allocation, putting them in context of 50 years of modern portfolio theory and practice. The approach of this course is top-down and practical, providing guidance for practitioners how to take their asset allocation activities one step further and delivering valuable insights for potential practical implementation of more advanced quantitative techniques. The program is designed to accommodate plenum discussions and features concept applications in six group exercises.

Target Audience
Chief investment officers, quantitative analysts, investment committee members, senior asset managers, investment analysts and portfolio managers.

Materials
Participants will receive the slides presented, spreadsheets containing example calculations for all models and concepts discussed and important papers in PDF format.
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PDF brožura s podrobnostmi o Portfolio Construction and Asset Allocation semináři je k dispozici na vyžádání.

Program semináře: Portfolio Construction and Asset Allocation

Seminář probíhá podle středoevropského času (CET).

09.00 - 09.10 Welcome

09.10 - 12.30 Introduction

  • Contemporary Challenges
    • Financial Crisis of 2008
    • Low-Yield Environment
    • Coronavirus Pandemic of 2020

Review of Modern Portfolio Theory (MPT) & Going Beyond MPT

  • From Mean-Variance Optimization to the CAPM: A quick summary of MPT
  • Applications of MPT
    • Active Management
    • Liability-Aware Portfolio Construction
    • Asset Class Investing
    • “Passive” Investing
    • Core-Satellite Approaches
  • Critical Assessment and Constructive Take-Aways from MPT
  • Framework for Going “Beyond MPT”
    • The case for adaptive asset allocation in a dynamic world which is hard to forecast
    • Industry Trends: Factor Investing and Smart Beta

12.30 - 13.30 Lunch Break

13.30 - 17.00 Expected Returns

  • The importance of expected return in portfolio construction and challenges: estimation risk
  • Do optimizers need expected returns? Spoiler alert: no, they don’t
  • Approaches to forecasting expected returns
    • Scenario-based methods: Markov regime switching and practitioner’s approaches
    • Deriving returns from scores and ranks
    • Building allocations from scores and ranks without optimizers
    • Incorporating active views: relative forecasts
    • Bayesian methods: the Black/Litterman model and noise filtering using shrinkage methods (James Stein estimator)

09.00 - 12.30 Risk-Based Investment Strategies & Estimating Risk

  • Risk-based approaches to investing: minimum variance, risk parity, risk budgeting, equal-weighting, maximum diversification
  • Drivers of success of risk-based strategies
  • ML (machine learning) & AI (artificial intelligence)
    • Waterfall allocations based on hierarchical clustering
    • Hierarchical risk parity
    • Some general comments on ML, AI in portfolio construction
  • Time-varying risk characteristics, empirical risk anomalies
    • Autocorrelation and volatility clustering, GARCH models
    • The positive relationship between equity risk and return over time
    • The relative importance of volatilities and correlations
  • Estimation of the covariance matrix
    • Sample covariances, EWMA and GARCH estimators
    • Bayesian shrinkage estimators: Ledoit-Wolf
    • Filtering noise in covariances: Random Matrix Theory
    • Modelling and tweaking correlations: consistency issues & solutions, correlation scenarios and stress testing

12.30 - 13.30 Lunch Break

13.30 - 17.00 Estimation Risk and Estimation Risk Management

  • Estimation risk as risk in input parameters
  • A scenario-based approach to estimation risk management
  • The stochastic nature of efficient frontiers: confidence bands, the Resampled Efficient Frontier™
  • Distortions in risk and return estimates: the impact of liquidity and survival biases, statistical unsmoothing approaches, evidence-based multiplier approaches
  • Framework for an estimation-risk-aware mean-variance portfolio construction process
  • Robust portfolio construction: modelling uncertainty, regret minimization

09.00 - 12.30 Portfolio Construction beyond Mean and Variance

  • Risk measurement for non-normal assets: LPM/UPM, VaR/CVaR, Drawdown risk
  • Higher Moments: interpretation, uses and challenges
  • Behavioural portfolio construction: implementing insights from Prospect Theory
  • CVaR and LPM optimization: exact methods and approximations
  • Understanding optimization algorithms: threshold accepting, simulated annealing, evolutionary methods
  • The many uses of random portfolios
  • Multi-criteria optimization: case study calculating sustainability-efficient portfolios and frontiers

Tail Risk Management

  • The two types of normal distribution assumptions in Finance
  • Interesting non-normal distributions: non-normal mixture, NIG and Cornish-Fischer distributions
  • Non-Normal Risk Budgeting based on Modified VaR/CVaR
  • Building non-normal portfolios from elliptical distributions
  • Drawdown Risk Management
    • Tail risk versus drawdown risk
    • CPPI 2.0

12.30 - 13.30 Lunch Break

13.30 - 17.00 Diversification in a Non-Normal and Non-Linear World

  • Diversification is more than correlation: overdiversification, diworsification
  • Taking into account correlation asymmetries in portfolio construction: a closer look at equities, bonds and gold
  • Non-linear correlation measures and their limitations: the case of the Spearman rank correlation coefficient
  • Introduction to Copula Theory: potential and current limitations

Summary and Outlook

Termination and Evaluation of the Seminar

Místo konání a registrace

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Místo

Praha

Semináře se konají v samém srdci střední Evropy v hlavním městě Praze.

Více informací
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Hybrid

Hybridní seminář

Seminář se bude konat také online ve stejné dny jako prezenční formát.

Online
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Registrace

Uzávěrka přihlášek:

6.10.2025

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