Quantitative Risk and Portfolio Managment
June 26-28, 2008
Courant Institute, Room 109, 251 Mercer Street
New York, NY 10012

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
  • Pricing
  • 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.Participants will receive a complimentary copy of the book and all the code used in the demos.

Audience
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.

CFA Institute Accreditation
Attilio Meucci is registered with CFA Institute as an Approved Provider of continuing education programs. This program is eligible for 22 CE credit hours as granted by CFA Institute.
You can read more here.

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