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Overview of the Bootcamp's logistic, pricing, audience, charity, etc, see here
The Advanced Risk and Portfolio Management Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in 6 intensive days of theory and MATLAB live examples and exercises:
Day 1 - Monday, 12 August 2013
Morning session: Intro/Quest for Invariance (8:30-12:30)
- »P vs Q: the worlds of quantitative finance (Publication)
- »The "Prayer": modular steps of ARPM (Publication)
- P1: Quest for Invariance
- P2: Estimation
- P3: Projection
- P4: Pricing
- P5: Aggregation
- P6: Attribution
- P7: Evaluation
- P8: Optimization
- P9: Execution
- P10: Ex-Post Analysis - »Invariance and the random walk (Textbook)
- Equities: log-returns3
- Fixed-income: changes in yield to maturity
- Derivatives: (log) changes in vol. surface - »Advanced dynamics in discrete time (Publication)
- Autocorrelation and AR(1) processes
- ARMA processes and Wold's theorem
- Long memory: fractional integration
- Volatility clustering: GARCH
Afternoon session: Quest for Invariance/Projection/Pricing (13:30-16:00)
- »Advanced dynamics in continuous time (Publication)
- Random walk: Levy processes
- Autocorrelation: Ornstein-Uhlenbeck
- Long memory: fractional Brownian motion
- Volatility clustering: stochastic volatility
- Volatility clustering: subordination - »Projection to the investment horizon (Textbook; Publication; Publication)
- Analytical projection: convolution
- Numerical projection by FFT
- Numerical projection by simulations - »Pricing of invariants at the investment horizon (Textbook)
- Full analytical: log-distributions
- Full numerical: scenario pricing (Monte Carlo/historical)
- Taylor approximation: theta-delta/vega-gamma; carry-duration-convexity
- Stress-matrix approximation
Review and Exercises (16:00-18:30) (Exercise book)
Day 2 - Tuesday, 13 August 2013
Morning session Quest for Invariance II (8:30-12:30)
- »Multivariate statistics (Textbook)
- Distribution taxonomy
- Representations: pdf, cdf, cf, quantiles, scenario/probabilities
- Spectral theorem / covariance visualization - »Copulas (Publication; Publication)
- Copulas in theory
- Copulas in practice: Copula-Marginal Algorithm
- Panic copulas with Fully Flexible Probabilities - »Multivariate dynamics (Publication)
- Multivariate Ornstein-Uhlenbeck process
- Cointegration
- Statistical arbitrage - »Linear factor models (Textbook; Publication)
- Systematic-idiosyncratic vs dominant-residua LFM's
- Distributional r-square
- Time-series, cross-sectional, statistical/PCA LFM's
- Factor analysis
Afternoon session I Factor Models (13:30-16:00)
- »The five applications of LFM's
- Multivariate estimation
- Asset pricing theory
- Search for alpha
- Portfolio optimization
- Risk attribution/hedging - »LFM's case studies (Textbook; Publication)
- Swap market: PCA and Fourier basis
- Stock market: fundamental, macro, random matrix theory - »Factor modeling pitfalls (Publication; Publication)
- Returns vs. invariants vs. P&L
- The idiosyncratic myth
- CAPM vs. APT vs. LFM's
- Time-horizon beta
Review and Exercises (16:00-18:30) (Exercise book)
Day 3 - Wednesday, 14 August 2013
Morning session Estimation I (8:30-12:30)
- »Estimators (Textbook)
- General definitions
- Evaluation: bias, inefficiency, error
- Stress-testing
- Generalized p-values, generalized t-statistics - »Multivariate non-parametric estimators (Textbook )
- Sample quantile and order statistics.
- Sample mean/covariance and best-fitting ellipsoid
- Sample factor loadings, betas, and OLS - »Multivariate maximum-likelihood estimators (textbook)
- Normal hypothesis: sample estimators
- Non-normal hypothesis: fat tails and outlier rejection - »Shrinkage estimators (Textbook)
- Stein mean
- Ledoit-Wolf covariance
Afternoon session Estimation II (13:30-16:00)
- »Robust estimators (Textbook )
- Assessing robustness: the influence function
- Huber's "M" robust estimators: location, scatter and betas
- Outlier detection and high-breakdown estimators
- Minimum-volume ellipsoid and minimum-covariance determinant - »Missing data (Textbook )
- EM algorithm
- ML marginalization
Review and Exercises (16:00-18:30) (Exercise book)
Day 4 - Thursday, 15 August 2013
Morning session Risk Management I (8:30-12:30)
- »Portfolio aggregation (Publication)
- P&L vs. returns
- Holdings vs. weights - »Investor's objectives (Textbook)
- Total return
- Benchmark allocation
- Net profits - »Portfolio attribution (Publication)
- Bottom up approach
- Factors on Demand
- Portfolio-specific factor models
- Non-Greek few-out-of-many hedging - »Portfolio evaluation (Textbook; Textbook)
- Stochastic dominance
- Satisfaction indices - »Non-dimensional indices
- Sharpe ratio, Omega, Sortino ratio, Kappa - »Diversification (Publication)
- Review of common definitions
- Conditional principal portfolios
- Effective number of bets
Afternoon session Risk Management II (13:30-16:00)
- »Expected utility and certainty-equivalent (Textbook)
- Analytical solutions: mean-variance as satisfaction
- Numerical solutions - »Quantiles and value at risk (VaR) (Textbook)
- Semi-analytical solutions in elliptical markets
- Cornish-Fisher approximation
- Extreme value theory (EVT)
- Numerical solutions
- Contribution to VaR from securities and from factors - »Coherent measures of performance (Textbook)
- Expected shortfall (ES) and conditional value at risk (CVaR)
- Contribution to ES from securities and from factors
- Spectral measures of performance - »Stress Testing for estimation risk (Publication; Publication; Publication)
- Basic stress testing
- Panic copulas with Copula-Marginal Algorithm
- Fully Flexible Probabilities (time/state/entropy pooling conditioning)
- Fully Flexible Bayesian networks
Review and Exercises (16:00-18:30) (Exercise book)
»Cocktail party (18:30-21:30)
Day 5 - Friday, 16 August 2013
Morning session Portfolio Management I (8:30-12:30)
- »Constrained optimization: computationally tractable problems (Textbook)
- Linear and quadratic programming
- Second order and semi-definite cone programming - »Two-step heuristics (Textbook)
- Affine equivariance of expectation and covariance
- Analytical mean-variance: two-fund theorem
- Numerical mean-variance: quadratic programming
- Mean-CVaR and alternative trade-offs - »Benchmark vs. total-return portfolio management (Textbook)
- Expected outperformance, tracking error, information ratio
- Frontier in total-return coordinates
- Frontier in relative-return coordinates - »Pitfalls of the mean-variance approach (Textbook; Publication)
Afternoon session Portfolio Management II (13:30-16:00)
- »Estimation risk: allocation as a decision (Textbook )
- Opportunity cost as loss of an estimator
- Stress testing - »Simple allocation techniques (Textbook)
- Prior allocation: efficiency
- Sample-based allocation: unbiasedness - »Robust allocation (textbook )
- Box uncertainty sets
- Elliptical uncertainty sets (second-order cone programming) - »Re-sampled allocation (Textbook )
Review and Exercises (16:00-18:30) (Exercise book)
Day 6 - Saturday, 17 August 2013
Morning session Portfolio Management III (8:30-12:30)
- »Multivariate Bayesian estimation (Textbook )
- Theoretical background
- Analytical solutions: Normal-Inverse Wishart model
- Numerical solutions: Monte Carlo Markov Chains - »Bayesian allocation (Textbook )
- Predictive return allocation
- Classical-equivalent allocation - »Tactical portfolio construction (Textbook ; Publication; Publication)
- Rosenberg-Grinold
- Black-Litterman
- Black-Litterman for derivatives - »Beyond Black-Litterman (Publication)
- Entropy Pooling and Fully Flexible Views
- Non-normal markets
- Non-linear views
- Generalized stress-testing
- Ranking allocation
Afternoon session Portfolio Management IV (13:30-16:00)
- »Dynamic allocation strategies (Publication)
- Convex/concave strategies
- CPPI
- Delta-replication
- Drawdown control - »Liquidity (Publication)
- Transaction costs
- Market impact
- Best execution
Review and Exercises (16:00-18:30) (Exercise book)
