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Investment Risk Management Seminar Sydney_ 2-3 November 2011

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					Investment Risk Management Seminar
Sydney, 2-3 November 2011

                                     Institute
                               Investment Risk Management Seminar - Sydney, 2-3 November 2011




    The Choice of Risk Management                                             Investment Risk Management
    > Having learned through the recent crises about the limited payoffs      Seminar
    and significant risks of excessive reliance on asset selection models,
    investment managers and institutional investors are showing               > The Investment Risk Management Seminar is an intensive two-day
    unprecedented interest in asset allocation and risk management            course that will provide participants with an in-depth appreciation of
    approaches as sources of performance.                                     the concepts and techniques that will shape the future of investment
                                                                              risk management. The seminar will also equip them with practical
                                                                              tools to improve asset allocation and risk management processes,
    > Meanwhile, recent advances in academic research have paved the
                                                                              implement novel investment management approaches, and develop
    way for the development of a new generation of welfare-improving
                                                                              new products.
    financial engineering techniques aimed at designing optimal
    investment solutions that take into account the specific constraints
    and objectives of the various types of investors. These solutions rely    > The first day of the seminar focuses on bridging the gap between
    on an innovative exploitation of the benefits of the three competing      portfolio theory and portfolio construction to achieve efficient risk
    approaches to risk management, namely risk diversification, risk          diversification. It discusses the limits of modern portfolio theory
    hedging, and risk insurance, each of which represents a so far largely    and presents solutions to address estimation issues. It includes a
    unexplored source of added value for investment management.               presentation of portfolio optimisation models that take non-normality
                                                                              risks and realistic preferences into account. It concludes with an
                                                                              application to enhanced index construction, looking at new forms of
    > It is against this backdrop that EDHEC-Risk Institute has structured
                                                                              indices and benchmarks.
    its work on asset allocation and risk management. Now regarded as
    the premier international centre for research in these fields, it plays
                                                                              The second part of the seminar shows how to account for regulatory,
    a noted role in furthering asset allocation concepts and techniques
                                                                              accounting, and other short-term constraints, which requires
    and systematically highlighting their practical uses to the investment
                                                                              implementing risk insurance, in addition to risk diversification and risk
    management industry.
                                                                              hedging. It introduces the risk-controlled investing paradigm, which
                                                                              addresses the presence of short-term risk budgets. It shows how long-
                                                                              term objectives and short-term constraints can be simultaneously
                                                                              taken into account in a comprehensive disciplined asset allocation
                                                                              framework. The seminar concludes with case studies of designs for
                                                                              long-only absolute return funds with maximum drawdown and
                                                                              trailing performance constraints, and for dynamic LDI strategies.

                                                                              > The seminar is presented in a highly accessible manner by
                                                                              instructors who combine academic expertise and industry experience.
                                                                              It strikes a balance between exploration of new models and a study
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                                                                              of applications.
                                                  Investment Risk Management Seminar - Sydney, 2-3 November 2011




Key Learning Benefits                                                  Who Should Attend
> Bridge the gap between modern portfolio theory and practical         > The programme is intended for investment management
portfolio construction to build stable models: find out how to         professionals who advise on or participate in the design and
make parameter estimation manageable and reliable; discover how        implementation of asset allocation policies and portfolio models, and
to account for non-normality, asymmetric risk preferences, and         for sell-side practitioners who develop new asset management and
parameter uncertainty in portfolio construction.                       ALM solutions for investors.

> Understand enhanced index and optimal benchmark construction:        > Past editions of EDHEC-Risk Institute seminars on risk management
review the limitations of traditional indices; find out about          have attracted a large cross-section of buy- and sell-side institutions
minimum variance, equally weighted, equal-risk contribution, and       from forty countries worldwide. Global giants, national champions,
other forms of benchmarks; discover statistical and fundamental        and small boutiques were represented by their senior officers and
weighting schemes; and find out how to take account of liquidity       investment specialists. Participants included practitioners with the
constraints and transaction costs.                                     following functions and from the following types of institutions:

> Use dynamic beta management, risk budgeting, and dynamic
core-satellite allocation to refine investment management and risk       Functions                          Institutions
management processes and design new investment solutions: learn          • Chief executive officers/        • Asset management companies
to introduce risk management constraints into asset allocation           Managing directors                 • Consultancies
and discover new risk management techniques; find out how to             • Chief investment officers/       • Insurance and reinsurance
design long-only absolute return funds with maximum drawdown             Directors of investments           companies
                                                                         • Heads of asset allocation/       • Investment banks
and trailing performance constraints, how to devise dynamic
                                                                         investment strategy/ALM            • Non-financial companies
strategies mixing traditional and alternative investments that pass
                                                                         • Heads of investment solutions/   • Pension funds, endowments
the liquidity test, and how to use new LDI approaches to optimise        structuring/financial services     and foundations
regulatory constraints.                                                  • Portfolio managers               • Private banks
                                                                         • Risk managers                    • Regulatory authorities
                                                                         • Senior analysts                  • Research firms
                                                                         and investment officers
                                                                         • Senior investment advisers/
                                                                         consultants
                                                                         • Senior research officers




                                                                                                                                                 3
                                                                    Investment Risk Management Seminar - Sydney, 2-3 November 2011




    Seminar Instructors
                                    Noël Amenc, PhD, is professor                                        Felix Goltz, PhD, is head of                                         Stoyan Stoyanov, PhD, is




                                                                                                                                          Stoyan Stoyanov
    Noël Amenc




                                                                         Felix Goltz
                                    of finance at EDHEC Business                                         applied research at EDHEC-                                           professor of finance at
                                    School, where he heads                                               Risk Institute and director of                                       EDHEC Business School and
                                    EDHEC-Risk Institute. He has                                         research and development                                             Programme Director of the
                                    a masters degree in                                                  at     EDHEC-Risk      Indices                                       MSc in Risk and Investment
                                    economics and a PhD in                                               & Benchmarks. He does                                                Management for Asia. He
                                    finance and has conducted                                            research in empirical finance                                        has nearly ten years of
                                    active research in the fields                                        and asset allocation, with a                                         experience in the field of
                 of quantitative equity management, portfolio                          focus on alternative investments and indexing                        risk and investment management. Over his
                 performance analysis, and active asset                                strategies. His work has appeared in various                         professional career, Professor Stoyanov has
                 allocation, resulting in numerous academic                            international academic and practitioner                              designed and implemented investment and risk
                 and practitioner articles and books. He is a                          journals and handbooks. He obtained a PhD                            management models for financial institutions,
                 member of the editorial board of the Journal                          in finance from the University of Nice Sophia-                       co-developed a patented system for portfolio
                 of Portfolio Management, associate editor                             Antipolis after studying economics and                               optimisation in the presence of non-normality,
                 of the Journal of Alternative Investments,                            business administration at the University of                         and led a team of engineers designing and
                 member of the advisory board of the Journal of                        Bayreuth and EDHEC Business School.                                  planning the implementation of advanced
                 Index Investing and a member of the scientific                                                                                             models for major financial institutions. In
                 advisory council of the AMF (French financial                                                                                              synergy with his work in the industry, he has
                 regulatory authority).                                                                                                                     acquired advanced academic qualifications
                                                                                                                                                            and published extensively. His research focuses
                                                                                                                                                            on probability theory, extreme risk modelling,
                                                                                                                                                            and optimal portfolio theory. He has published
                                                                                                                                                            nearly thirty articles in academic journals,
                                                                                                                                                            contributed to many professional handbooks,
                                                                                                                                                            and co-authored two books on financial risk
                                                                                                                                                            assessment and portfolio optimisation.




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                                                                               Investment Risk Management Seminar - Sydney, 2-3 November 2011




          Risk diversification and the design of efficient performance-seeking portfolios—Bridging
Day One


          the gap between portfolio theory and portfolio construction
          Seminar contents: identifying paradigm shifts in the asset management industry, understanding when and why modern portfolio theory fails in the real world, making covariance matrix estimation
          manageable and improving parameter estimates, incorporating active views in a Bayesian framework, implementing alternative portfolio models that integrate non-normality risks and realistic
          preferences, searching for efficient benchmarks, and identifying alternative forms of indices and benchmarks.

          Introduction                                                              Implementing and improving covariance parameter                 Implementing and improving estimation of expected
          Paradigm shifts in the asset management industry                          estimation                                                      return parameters
          > Alpha-beta separation and risk management: understanding                > Addressing sample risk with covariance matrix estimation:     > Expected return estimation in the absence of active views:
          the difference between asset allocation and risk allocation, asset        reducing dimensionality and estimating the covariance matrix    factor model and optimal statistical shrinkage towards the grand
          and liability relative risk budgeting; appreciating the relevance of      with explicit, implicit, and explicit/implicit factor models;   mean.
          beta and risk management.                                                 introducing Bayesian techniques and statistical shrinkage       > Incorporating active views in a Bayesian framework: applying
          > The core-satellite approach and risk budgeting: measuring               estimators.                                                     Bayesian analysis to combine historical estimates and nonsample
          and decomposing risk; realising the benefits of the core-satellite        > Addressing stationarity risk: de-smoothing the returns of     views of varying reliability; the Black-Litterman model
          organisation; aligning factor exposures; engineering                      illiquid sectors and asset classes; conditional estimation of   as a special case.
          portable alpha solutions.                                                 parameters with autoregressive conditional heteroskedasticity
          > From asset management to risk and asset management:                     and state-dependent models.                                     Enhanced equity index and benchmark construction
          understanding the value of risk management in the asset                                                                                   > New forms of indices and benchmarks: fundamental weighting
          management process; defining the three possible approaches                Dealing with non-normality risks and asymmetric                 schemes; equally weighted benchmarks; minimum variance
          to risk management: risk diversification, risk insurance, and risk        risk preferences                                                benchmarks; maximally diversified benchmarks; equal risk
          hedging.                                                                  > Measures of non-normality risks: recognising when non-        contribution benchmarks & stochastic portfolio theory.
                                                                                    normality matters; understanding higher moment and higher       > Rehabilitating efficient frontier portfolios: reducing the
          Towards Efficient Risk Diversification—From                               order co-moment beta; defining and measuring partial            concentration of minimum variance portfolios, incorporating
                                                                                    moments.                                                        idiosyncratic risk in asset allocation; meeting implementation
          Portfolio Theory to Portfolio Construction
          Limits of the Markowitz model                                             > Portfolio optimisation with higher moments: accounting        challenges.
                                                                                    for extreme risks in portfolio optimisation with VaR and        > Combining stock selection and optimal diversification:
          > Feasibility issues: Markowitz optimisation as a formidable              beyond VaR; scenario optimisation as a tool to account          addressing SRI constraints, risk factor hedging and style choices in
          econometric problem yielding noisy and unstable results;                  for non-normality; utility- and risk-based scenario             the equity portfolio construction process.
          portfolio optimisation with parameter uncertainty.                        optimisation.
          > Relevance issues: how theoretical assumptions about investor            > Case study: implementing the optimal diversification
          behaviour and return distributions compare to empirical facts;            approach to the introduction of alternative investments in
          Markowitz portfolios in the asset management and ALM contexts;            portfolios.
          moving from mean variance to higher moments, from static to
          dynamic allocation decisions, and from asset management to ALM.




                                                                                                                                                                                                                           5
                                   Investment Risk Management Seminar - Sydney, 2-3 November 2011




              Beyond risk diversification: Risk insurance and risk hedging–Achieving



    Day Two
              long-term investment objectives while respecting short-term risk budgets
              and constraints
              Seminar contents: moving from static to dynamic beta management; optimising risk budgeting within the core-satellite architecture; using dynamic core-satellite
              investing to achieve dissymmetric management of the risk budget; blending active management and risk management in a unified framework; designing new asset
              management offerings and novel LDI solutions.


              Towards Efficient Risk Insurance—From                     Case studies of new investment risk
              Asset Liability Management to Risk and                    management strategies:
              Asset Liability Management                                > Designing a long-only absolute return fund:
              From static to dynamic beta management                    including relative maximum drawdown and trailing
                                                                        performance constraints; introducing goal-oriented
              > From risk diversification to risk hedging:              strategies; reducing the opportunity cost of downside
              introducing risk management constraints into
                                                                        risk hedging.
              asset allocation; defining margin for error as a
              function of risk aversion; implementing time- and         > Designing a dynamic strategy mixing traditional
              state-dependent asset allocation strategies for           and alternative vehicles: towards an optimal
              risk management; reviewing portfolio insurance            replacement of traditional factor exposures with
              strategies: constant proportion portfolio insurance vs.   alternative factor exposures; dynamic core-satellite
              option-based portfolio insurance; understanding risk      techniques with alternatives—passing the liquidity
              management techniques based on replication and on         test.
              derivatives; introducing exotic structures.               > Risk properties of performance-seeking portfolios:
                                                                        taking into account target risk exposures within
              Dynamic core-satellite management and                     optimally diversified portfolios; controlling implicit
              new approaches for improved investment                    risk exposures in stock and bond investments.
              management offerings                                      > Optimal management of the volatility risk of the
                                                                        asset allocation: the importance of the volatility
              > Using risk budgets as ingredients in the design         factor in the risk of investments; hedging volatility
              of the optimal portfolio strategy; implementing
                                                                        risk; improving the extreme risk properties of
              martingale techniques in optimisation; taking into
                                                                        portfolios.
              account mean reversion in equity returns within the
              context of a risk controlled strategy; incorporating
              maximum drawdown constraints in product design;
              minimising the costs of downside protection and
              maximising access to the upside potential.




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                                                               Investment Risk Management Seminar - Sydney, 2-3 November 2011




Schedule
A typical programme day lasts from 8:30 to 17:00 and is usually
divided into lectures and application cases. The two class sessions in
each half-day period are separated by 30 minute refreshment breaks.
Lunch is included.


Venues
Hilton Sydney
488 George Street
Sydney NSW 2000
Australia
+61-2-9266-2000
www.sydney.hilton.com

Registration and Fee Information
Fees
Standard rate: EUR 2,000
Fees include instruction, documentation, refreshments at breaks,
and lunch. Accommodation is not included.

Billing and payment
The fee is billed upon registration and must be settled before the
seminar begins. Payment can be made by credit card or wire transfer.                   Further Information and Registration
Transfer or cancellation
Transfer of registration to a colleague, upon written notice, is allowed               For further information,
and free of charge. Transfer of registration fees to another EDHEC-Risk                contact Karen Teo at: karen.teo@edhec-risk.com
Institute programme must be requested in writing and is subject to the                 or on: +65 66318575
following charges: 45 to 30 days’ notice: 15% of the tuition fee; 29 to
11 days’ notice: 30% of the tuition fee; 10 days’ notice or less: 50% of               To register,
the tuition fee.                                                                       visit: http://store.edhec-risk.com

Cancellations of confirmed seats must be received in writing and are                   or send the completed registration form:
subject to the following charges: 45 to 30 days’ notice: 25% of the                    by email to: karen.teo@edhec-risk.com
tuition fee; 29 to 11 days’ notice: 50% of the tuition fee; 10 days’ notice            by fax to: +65 64389891
or less: 100% of the tuition fee.


                                                                                                                                        7
                  EDHEC-Risk Institute is part of EDHEC Business    EDHEC-Risk Institute validates the academic
                  School, one of Europe’s leading business          quality of its research through publications
                  schools and a member of the select group of       in leading scholarly journals, implements a
                  institutions worldwide to have earned all three   multifaceted communications policy to inform
                  international academic accreditations (AACSB,     investors and asset managers on state-of-
                  EQUIS, AMBA).                                     the-art concepts and techniques, and forms
                                                                    business partnerships to launch innovative
                                                                    products. Its executive education arm helps
                                                                    professionals to upgrade their skills with
                  Established in 2001, EDHEC-Risk Institute         advanced risk and investment management
                  has become the premier centre for financial       seminars and degree courses. EDHEC-Risk
                  research and its applications. In partnership     Institute has its main offices in Nice, London,
                  with the industry, its team of 66 permanent       and Singapore.
                  professors, engineers and support staff
                  implements six research programmes and            More information: www.edhec-risk.com
                  fourteen research chairs       and strategic
                  research projects focusing on asset allocation
                  and risk management.




                                                                                 Institute



  EDHEC-Risk Institute                           EDHEC Risk Institute—Europe                           EDHEC Risk Institute—Asia
 393 promenade des Anglais                             10 Fleet Place, Ludgate                                 1 George Street
BP 3116 - 06202 Nice Cedex 3                             London EC4M 7RB                                           #07-02
           France                                         United Kingdom                                      Singapore 049145



                                                      www.edhec-risk.com

				
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