Optimizing Multi-asset Portfolios for Uncertain Times: Stress Testing is the Key

Is your investment portfolio robust enough to survive during the next market crisis? Do you know that the impact of extreme events can be incorporated into portfolio optimization? Either way, this webinar will arm you with a few proprietary portfolio construction models and resources to build market-neutral investments.

Advanced Portfolio Optimization Techniques

• Why traditional optimization methods fail.
• Non-linear portfolio optimization.
• Understand beta constraints (market factor exposures) for constructing market-neutral portfolios.
• Understand the optimization framework of Risk Shell.
• 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).

Integrating Stress Testing with Portfolio Optimization

• Why combining stress testing and optimization in a single framework.
• Basics of factor-based stress testing.
• Stress constraints in optimization models.

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.

Portfolio Liquidity and Exposure Optimization

• How to define liquidity and exposure constraints.
•  Working with β tables for optimization constraints.

Potential Audience

Institutional portfolio managers, hedge FoF and multi-asset portfolio managers, CIOs, advanced family offices.