Course Overview

The course, which is taught in full-semester format at the Master's in Financial Mathematics - Courant Institute of New York University and in the Master's in Financial Engineering at Columbia University, covers all aspects of quantitative portfolio management and risk management from the foundations to the state-of-the-art in the industry.

The course is based on Dr Meucci's bestseller, Risk and Asset Allocation - Springer. All delegates will be given a complimentary copy of the book.

• Multivariate estimation techniques: non-parametric, maximum-likelihood under thick tails, shrinkage, robust, Bayesian
• Market modeling: copulas, market location-dispersion ellipsoid, factor models, principal component analysis, FFT projection of market to the horizon, delta-gamma and full Monte Carlo pricing
• Portfolio evaluation: stochastic dominance, utility, value at risk, expected shortfall, coherent measures
• Allocation techniques: trading/prospect theory, total return management, benchmark allocation
• Portfolio optimization under estimation risk: Black-Litterman, Bayesian, cone programming and robust optimization

For a detailed course program click here.

Audience

The course is designed for portfolio managers, risk managers, financial engineers, financial analysts, quantitative analysts, traders, and researchers.

The required level of mathematical background is kept to a minimum: the most advanced statistical and optimization techniques are introduced and thoroughly discussed by means of live MATLABŪ simulations, intuitive geometrical representations, figures and plenty of examples.

All the software will be made available to the delegates.

Course Material