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Portfolio Optimisation: Basics and Advances in Continuous-Time Model and Discrete-Time Models

30 - 31 May 2012 Birbeck College, London

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Scope and Purpose

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.

Overview:

  • 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.
Benefits of Attending

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
Target Audience

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.

 Programme
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Day 1 - 15 May

Time

TOPIC

 

9:00-9:30

REGISTRATION & COFFEE

 

9:30-9:50

Ice Breaker Session
Introduction and Overview

Gautam Mitra

9:45-10:30

Stochastic Programming Decision Models for ALM

 Gautam Mitra

10:30-10:45

MORNING COFFEE/TEA BREAK

 

10.45-12.00

Asset Liability Management for Individual Households

Elena Medova

12.00-12.05

COMFORT BREAK

 

12:05-13.20

Risk Management of Variable Annuity Portfolios

Michael  Dempster

13.20-14.20

LUNCH

 

14:20-15.05

Cash-flow Based Valuation of Pension Liabilities

Teemu Pennanen

15.05-15.10

COMFORT BREAK

 

15.10-15.55

Optimal Construction of a Fund of Funds

Teemu Pennanen

15:55-16.15

TEA BREAK

 

16.15-17.15

Bank ALM and Liquidity Risk

Moorad Choudhry

17:15-17.20

Summary; Discussion and Feedback

 


Day 2 - 16 May

Time

TOPIC

 

9:00-9:30

REGISTRATION & COFFEE

 

9:30-9:35

Introduction and Review of Day 1

Gautam Mitra

9:35-10:15

Simulation and Performance Evaluation Models for ALM

 Gautam Mitra

10:15-0.45

MORNING COFFEE/TEA BREAK

 

10.45-11.30

Software Demo

Gautam Mitra

11.30-11.35

COMFORT BREAK

 

11:35-12.25

The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management

Dan diBartolomeo

12.25-14.00

LUNCH

 

14.00-14.55

Asset Allocation and Risk Assessment of Pension Schemes Inclusive of Funding Guarantees

Dan diBartolomeo

14.55-15.15

TEA BREAK

 

15.15-15.45

 Summary; Discussion and Feedback;  close of workshop

 

 

 

 

 

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 Presenters
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Gautam Mitra
is an internationally renowned research scientist in the field of Operational Research especially in computational optimisation and modelling. He is the director of OptiRisk Systems UK (with its subsidiary in India) where he has been instrumental in developing optimisation and modelling products used in Asset Management, Supply Chain Management as well as other sectors. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published three books and over hundred refereed research articles. He was Head of the Department of Mathematical Sciences, Brunel University between 1990 and 2001. In 2001 he has established CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications. CARISMA specialises in the research of Risk and Optimisation and their combined paradigm in decision modelling.


Dan diBartolomeo is President and founder of Northfield Information Services, Inc. Before starting Northfield, he held the position of Director of Research at a New York investment firm, where he was responsible for investment strategy and equity, fixed-income, and derivatives research. Dan writes and lectures extensively and frequently presents papers at academic and industry meetings. He serves on the boards of the Chicago Quantitative Alliance, Woodbury College, and the American Computer Foundation, and the Boston Committee on Foreign Relations. He is an active member of the Financial Management Association, QWAFAFEW, the Southern Finance Association and the International Association of Financial Engineers. He has published numerous articles and papers in a variety of journals, has contributed chapters to several finance textbooks, and recently finished his first book on investment management for high net-worth individuals, published by the CFA Research Foundation. He received his degree in applied physics from Cornell University.

Teemu Pennanen is the Professor of Mathematical Finance, Probability and Statistics at King's College, London. Before joining KCL, Professor Pennanen worked as Managing Director at QSA Quantitative Solvency Analysts Ltd, with a joint appointment as Professor of Stochastic at University of Jyvaskyla, Finland. His earlier appointments include a research fellowship of the Finnish Academy and several visiting positions in universities abroad.

Moorad Choudhry is Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He was previously Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products, and vice-president in structured finance services at JPMorgan Chase Bank. Moorad is Visiting Professor at the Department of Mathematical Sciences, Brunel University and Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London. He is a Fellow of the ifs-School of Finance and a Fellow of the Chartered Institute for Securities & Investment.

Michael Dempster is Professor Emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. He has taught and researched in leading universities on both sides of the Atlantic, including Oxford, Cambridge, Stanford, California-Berkeley, Princeton, Toronto and Rome, and is currently founding Editor-in-Chief of Quantitative Finance and an Associate Editor of Stochastics, Computational Finance and the Journal of Risk Management in Financial Institutions. He has been consultant to a number of global financial institutions and several governments and is regularly involved in executive education in financial engineering and risk management around the world. Author of over 120 published research articles in leading international journals; his books include Stochastic Programming, Derivative Securities (with S R Pliska), Risk Management: Value at Risk and Beyond, Quantitative Fund Management (with G Mitra and G Pflug) and Stochastic Optimization Methods in Energy and Finance: New Financial Products and Energy Market Strategies (with M Bertocchi and G Consigli). His work has won several awards and he is an Honorary Fellow of the UK Institute of Actuaries and Managing Director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.

Elena Medova
is Visiting Fellow and a member of the Centre for Financial Research in the Statistical Laboratory, Department of Pure Mathematics and Statistics, University of Cambridge. She is Managing Director of Cambridge Systems Associates Limited, an analytics and software consultancy. Elena specialises in stochastic system optimisation and financial risk management and has published over 40 papers in leading international journals and conference proceedings, including Risk, Quantitative Finance, Journal of Asset Management, Journal of Financial Innovation, Journal of Financial Regulation and the British Actuarial Journal. She is co-founder of the Centre, has been responsible for many of its projects, supervised a number of PhD students, and has written extensively on extreme value models in operational risk management. Dr. Medova's current research on risk management links the problem of practical risk assessment and management with financial regulation. Interest in her work has resulted in invitations to global banking conferences and executive education courses in London, New York, Paris, Geneva, Milan, Frankfurt, Moscow, Athens, Beijing, Bankok and Calcutta.

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Fees
2 days: £1025 + VAT

Thanks to our sponsors, there are a limited number of bursaries available for academics and research students.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com

Discounted rates for group bookings can be also arranged on request.








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Other Workshops

May Events
Practical Asset and Liability Management, 15 - 16 May London
Portfolio Optimisation: Basics and Advances in Continuous - time and Discrete - time Models, 30 - 31 May London
Interest Rate Modelling and Applications in Practice, 31 May - 1 June London
Email: info@optirisk-systems.com    T: +44 (0) 1895 819 483 / 488    F: +44 (0) 1895 813095
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