Portfolio Optimisation for Investment Managers

This two day intensive course is designed for investment managers, risk analysts, hedge fund and alternative investment managers who are looking to gain a key understanding of the tools and techniques for modelling and optimising risk management models. Throughout the course MATLAB-based workshops will provide an excellent opportunity to get hands-on experience of building risk management models, developing risk optimisation problems, and understanding how to decompose portfolio risk into their various components. No prior knowledge of MATLAB is required.

Available for in-house delivery. Call +44 (0)1483 573150

Duration: Two days (9.30am to 4.30pm)
Location: Apex City of London Hotel – London, UK
Trainer: Paul Darbyshire
Course fee: £1990 + VAT – Register online


Introduction to MATLAB

+ The MATLAB environment
+ A review of MATLAB syntax
+ Scripts and functions

Review of Key Statistical Measures

+ Mean & standard deviation
+ Higher moments: skew & kurtosis
+ Extending skew and kurtosis: Co-skew & co-kurtosis
+ Covariance

Mean-Variance Optimisation

+ Portfolio return vs. risk
+ Variance-covariance (VCV) matrix
+ Setting up an optimisation problem
+ Incorporating optimisation constraints
+ Review of MATLAB optimisation functions
+ Optimising portfolio variance (risk)

Optimising the Sharpe Ratio

+ The Sharpe ratio
+ Setting up the Sharpe maximisation problem
+ Optimising Sharpe ratio

Optimising Modified Value-at-Risk

+ Significance and confidence levels
+ Value-at-Risk (VaR)
+ The Cornish-Fischer expansion
+ Modified VaR (MVaR)
+ Setting up the MVaR optimisation problem
+ Optimising MVaR


Optimising Modified Expected Shortfall

+ Coherent risk measures
+ Understanding Expected Shortfall (ES)
+ Significance and confidence levels
+ Cornish-Fisher & Edgeworth expansion
+ Modified Expected Shortfall (MES)
+ Setting up the MES optimisation problem
+ Optimising MES

Decomposing Portfolio Risk

+ Marginal and component risks of a portfolio
+ Contributions to portfolio risk
+ Decomposing portfolio volatility
+ Decomposing portfolio MVaR
+ Decomposing portfolio MES

Note: This workshop uses MATLAB. Delegates, however, will be able to apply the principles learnt during the workshop regardless of which software they choose to use thereafter.