Hedge Fund Portfolio Optimization: Advanced Techniques
Explaining problems of non-linear portfolio optimization for hedge funds and fund of funds. Tail-based metrics and objective functions (CVaR, LPM, VaR, MVaR, Omega etc). Constructing market-neutral portfolios. Beta constraints and user-defined objective functions. Risk Shell portfolio optimization component explained.
Unique Problems of Hedge Fund Portfolio Optimization
- Learn advanced portfolio optimization models applicable to non-normal distributions of returns.
- Understand why the mean-variance methodology is not applicable to hedge funds.
- Understand beta constraints (market factor exposures) for constructing market-neutral portfolios.
- Understand the optimization framework of Risk Shell.
Fund of Funds Portfolio Optimization
- Introduction to advanced objective functions that take into account the non-normality of return distributions: Conditional Value-at-Risk (CVaR), Omega, Maximum Drawdown, Conditional Drawdown (CDaR) and Lower Partial Moments (LPM).
- Risk Shell optimization component: setting objective functions and constraints.
- User-defined objective functions for portfolio optimization.
- Advanced optimization functions: backtesting and background optimization.
Market-Neutral Portfolio Optimization
- Market-neutral portfolios (hedge fund of funds and multi-asset): defining the optimization model.
- Risk Shell tools to add factor constraints to the optimization model.
Hedge Fund Portfolio Liquidity and Exposure Optimization
- How to define liquidity and exposure constraints.
- Working with β tables for optimization constraints.
Institutional portfolio managers, hedge FoF and multi-asset portfolio managers, CIOs, advanced family offices.