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What
You Get
 Knowledge:
in-depth understanding of quantitative modeling for the buy-side from
the foundations to the newest developments, absorbed through six full
days of intensive instruction. The most advanced statistical and
optimization techniques are thoroughly explained in theory and
visualized in practice with live MATLAB examples
Materials:
A. Meucci's classic Risk
and Asset Allocation; MATLAB demos;
~500 summary slides
Certifications:
40 CFA Institute CE units, proctored exam "Certificate in Advanced Risk and Portfolio Management"; learn
more
Charity:
each dollar paid by the participants, after costs, becomes a 50
cent donation to charity; learn more
What You Pay
$750 (Bloomberg/Academic/Student);
$1,295 (Partner);
$1,550 (Professional)
Special group rates: your whole team will be trained and tested; learn
more
When/Where
Monday August 17 through Saturday August 22, 8:30am-6:00pm
Baruch College-CUNY, 55 Lexington Avenue (at 24th Street), Lecture Hall 5-150, Newman Vertical Campus
Content
Market
modeling:
random walk, ARMA, GARCH, Levy, long memory, stochastic volatility,
subordination
Multivariate
statistics: non-parametric,
non-normal MLE, shrinkage, robust, Bayesian estimation; copula/marginal
factorization; location-dispersion ellipsoid
Factor
modeling:
theory and pitfalls of explicit and implicit factor models, CAPM, APT,
principal component
Pricing:
full evaluation, Greeks approximation, 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, risk decomposition
Advanced
management:
robust/SOCP optimization, shrinkage/Bayesian allocations,
Black-Litterman and beyond, statistical arbitrage
Audience
 Buy-side
professionals
(portfolio managers and risk managers with solid quantitative
background) will deepen and broaden their understanding of the recipes
they implement everyday and will learn the most cutting-edge techniques
Sell-side
professionals (traders, financial
engineers, quantitative analysts, research teams) will bridge the gap
to the buy-side aspects of quantitative finance
Academics
and
students will understand the
big-picture and the details of buy-side finance in a concise,
quantitative language familiar to them
Organizers
The workshop is jointly offered by the Baruch College Financial
Engineering Program and by the Bloomberg Alpha - Portfolio Analytics and
Risk.
Contact
For more information, send email to arpm09@baruch.cuny.edu
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