Active Portfolio Management


Objective:

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

 

Outline:

- Portfolio Concepts

     Definitions 

     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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