Portfolio Optimisation & Diversification for the Buy-Side

Incisive Training
Course summary
Length: 2 days
Price: 1,499 GBP excl. VAT
Location: London
Course type: Open / Scheduled

Course Description

Portfolio Optimisation & Diversification for the Buy-Side

Portfolio Optimisation & Diversification for the Buy-Side - 2 day Course

Since the financial crisis, risk management has become a key priority for many buy-side firms. This course has been designed especially for these firms in order to give attendees a thorough understanding of the modern portfolio theory and how it is applied. During the course, modelling and optimisation techniques will be covered, along with a number of risk models and some advanced strategies and techniques that will give participants a good knowledge of how they can manage risk. 

Current approaches allow optimisation of return, taking market risk into account, but the volatile markets and global regulations make this a difficult operation. Priorities are always shifting for investors, with more sophisticated strategies meaning that firms must ensure they are using optimal portfolio management, risk and investment methods.

Suitability - Who should attend?

Participants who work in the following areas will benefit from this course:

  • Portfolio Manager
  • Investor
  • Allocator 
  • Credit Analyst
  • Equity Analyst
  • Traders
  • Derivatives Dealer
  • Risk Manager
  • Regulatory and Risk Reporting
  • Fixed Income

Training Course Content

Course content is as follows:

Day One

Modern Portfolio Theory

  • A short history of modern portfolio theory
  • Sequential quadratic modelling for portfolio optimisation
  • Updating and improving classical quadratic single-horizon portfolio theory:
  • Risk Model: Multi-asset, not depending on volatility and correlations concepts
  • Features: Mulit-horizon, trading, taxes
  • Related regulation and defining a diversified portfolio


    • Different Modelling approaches: mean variance optimisation
    • Black-Litterman and Bayesian Techniques
    • Factor Models: Statistical Vs. Pre-defined common factors
    • Semi-variance and other ideas

      Transactional Cost Models

      • Incorporating transaction costs in the optimisation
      • Tax consequences
      • Which models yield realistic results?
      • Avoiding bias introducing by transaction cost models

      Risk Models and Risk Parity Portfolios 

      • Are risk parity portfolios optimal? 
      • Risk parity at the security level, factor allocation, and/or asset allocation
      • Balance risk across multiple common risk factors: value, size, momentum, quality 
      • How to build and estimate risk models 
      • Estimate the expected risk and turnover impact of using optimisation 

      Speaker: Hamza Bahaji, Head of Engineering and Quantitative Research at Seeyond, Natixis Global Asset Management

      Day Two

      Accounting for Large, Unexpected Risks

      • Expected Shortfall (ES)
      • Conditional VaR
      • Tail Risk
      • Non-Linear solutions

      Portfolio Management Under Stress 

      • Scenario analysis 
      • Data 
      • Identifying sensitives and integrating risks
      • Mitigation 
      • Portfolio optimisation and liquidity 

      Multi Period Portfolio Optimisation

      • Stochastic programming
      • Practical examples
      • Active fund allocation
      • Risk Vs. return or risk Vs. return while accounting for transactional costs
      • Managing Constraints on trading, maximum weights on securities, sectors or factors

      Speaker: Professor Michael Dempster, Centre for Financial Research, University of Cambridge

        Advanced Portfolio Optimisation

        • Derivatives, collateral and clearing
        • Smart beta, balance sheet modelling
        • Regulation: Basel III, Solvency II
        • Advanced computional techniques and platforms

        Speaker: Erik Vynckier, Board member, Risk & Capital Committee, Chair, Investment Committee, Foresters Friendly Society


        The cost of this course is £1,499 + VAT per participant. Enquire about early bird discount.

        In-House options are also available, contact Incisive Training for more information.

        Provider: Incisive Training

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