Active Portfolio Management


To give an understanding of active portfolio management.  Reasonable quant knowledge is assumed.



- Portfolio Concepts


     Examples and Applications


- Mean Variance Analysis

      Mean Variance Frontier
      Portfolio Possibilities Curve
      Related Concepts
      Example using historical return data


- Practical Issues and Concepts

      Diversification and Portfolio Size
      Diversification and Portfolio Size An Example
      Portfolio Choice Risk Free Assets and Capital Allocation Line (CAL)
      The Capital Market Line (CML)
      Applying a set of decision rules An Example
      Optimisation and Inputs


- Multifactor Models

      Identifying Factors and Factor Types
      Example Fundamental and Macroeconomic Factors
      Factor Sensitivity
      Arbitrage Pricing Theory and Factor Modelling
      Current Practice
      Risk Factors and Active Risk Management

- Market Timing

       Value of market timing concept and application

- Security Selection

      Portfolio Construction
      Active and Passive Portfolios
      Multifactor Models and Active Management


- Imperfect Forecasts of Alpha

      Examples and Applications
      Model Limitations


- Final Thoughts and Conclusion

Todays Date:

Duration  day
LondonFurther dates available on request
Fee  300 + VAT

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