Key Topics of the Course:

• Analysis of "Passive" MPT Portfolio Construction
• Implementing Non-Zero Alpha Information with Treynor/Black
• Assessing Alpha Forecast Risk via Treynor, Roll, and Grindold/Kahn
• Understanding the Black/Litterman Model and Its Principles
• Bayesian Techniques for Forecasting
• Applying Absolute, Relative, and Basket Forecasts to Portfolios

Course Overview

This course aims to bridge the knowledge gap regarding active portfolio construction methodologies that complement the widely discussed Modern Portfolio Theory (MPT). It offers insights into the evolution of methodologies beginning with early contributions from Markowitz and Sharpe, focusing on how to create and manage portfolios using private alpha information while considering forecast risk. The program caters to both junior and experienced investment professionals, as well as non-technical individuals involved in the investment process seeking a comprehensive understanding. Summaries of formulas and models will be provided, emphasizing practical application and stimulating discussions with participants.

Intended Audience

This program is designed for investment professionals at various levels, including junior and advanced analysts, risk managers, members of investment committees, senior management, and professionals in relationship management and sales.

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