Advanced Risk and Portfolio Management
June 26-28, 2008
Courant Institute, Room 109
251 Mercer Street
New York, NY 10012
Dr Attilio Meucci, CFA
The workshop covers all aspects of quantitative risk and portfolio management from the foundations to the newest developments:
• Multivariate statistics and stochastic processes
• Multivariate estimation in non-normal markets
• Market modeling
• Portfolio evaluation
• Generalized risk decomposition
• Advanced portfolio management techniques
• Liquidity and transaction costs
The most advanced statistical and optimization techniques are introduced and thoroughly discussed by means of live MATLAB simulations, intuitive geometrical representations, figures and plenty of examples.
The workshop is based on Dr. Meucci’s bestseller Risk and Asset Allocation (Springer Finance, 2005). Participants will receive a complimentary copy of the book and all the code used in the demos.
Buy-side practitioners (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.
Academics and sell-side practitioners (traders, financial engineers, quantitative analysts, research teams) will understand the big-picture and the details of buy-side finance in a concise, quantitative language to them familiar.
Register at www.cims.nyu.edu/~arpm2008
For questions or inquiries, please email
or call (212) 998 3194