ARPM Bootcamp - Program

One-week, Heavily Quantitative, Omni-Comprehensive Buy-side Training
July 13-18, 2015 at New York University, USA
    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:
  • Market modeling: random walk, ARMA, GARCH, Levy, long memory, stochastic volatility
  • Multivariate statistics: non-parametric, non-normal MLE, shrinkage, robust, Bayesian estimation; copula/marginal factorization; location-dispersion ellipsoid
  • Factor modeling: theory and pitfalls of time-series and cross-sectional factor models, CAPM, APT, principal components analysis, random matrix theory
  • Pricing: full evaluation, Greeks, stress-matrix interpolation; analytical, Monte Carlo, historical
  • Risk analysis: diversification, stochastic dominance, expected utility, Sharpe ratio, Omega, Kappa, Sortino, value at risk, expected shortfall, coherent and spectral measures
  • Portfolio construction: robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication


  • Day 1 - Monday, 13 July 2015

    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, 14 July 2015

    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, 15 July 2015

    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, 16 July 2015

    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) »Gala Dinner (19:00-22:30)

    Day 5 - Friday, 17 July 2015

    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, 18 July 2015

    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)