Financial Planning problems are eminently suited for analysis using the efficient risk & return frontiers. There are in general two schools of modellers who practice Portfolio analytics.(i) continuous time finance specialists and (ii) those specialising in the application of discrete optimisation techniques to portfolio models. In this workshop both these modelling approaches are covered in depth. The continuous time specialists use stochastic differential equations and martingale theory; the applications focus mainly on optimal investment with derivatives, and take into consideration stochastic interest rates, as well as suitable benchmarks. The class of discrete models emanating from Markowitz’s classical Mean-Variance approach are successfully processed as quadratic optimisation problems. Rather belatedly quadratic programs in the form of mean-variance analysis have become the tool of choice when it comes to financial planning, be it portfolio selection, asset liability management models, or index tracking. Further, integer quadratic optimisation is one of the most valuable extensions that make the portfolio selection realistic and applicable by introducing threshold values, numbers to be chosen, and transaction costs. This special two-day course is designed to successfully demonstrate and transfer the skills needed for developing these two classes of portfolio problems.

• Standard Models and settings in Continuous-Time Portfolio Optimisation
• Discrete Trading with Continuously Optimal Strategies
• Optimal Investment with Derivatives, Benchmarks and Stochastic Interest Rates
• Mean-Variance Portfolio theory: a critique
• Post modern Portfolio theory:  upside potential and downside risk
• Mean-Variance CVAR model for long short portfolio construction
• Second order Stochastic dominance (SSD) criterion for Portfolio choice and enhanced indexation.

At the end of the workshop, the participants will be able to develop their own models for portfolio construction and

• Learn about latest results in continuous-time portfolio optimisation
• Understand how to apply continuous-time results in application
• Get ideas for using continuous-time methods as a benchmark
• Build discrete portfolio choice models with risk-return trade off
• Learn about post-modern portfolio theory with downside risk control
• Learn how downside risk measures and concepts of stochastic dominance are introduced in portfolio choice models

This workshop is targeted at

• Quantitative and technical analysts,
• Risk analysts,
• Fund managers,
• Academic Researchers

For Quantitative Analysts/Risk Analysts: This workshop give you an overview of the wide range of evolving economic and computational models for portfolio construction.

For Academics and Students: take advantage of our special academic prices to view Portfolio Optimisation from a business perspective.

Day 1

Day 2