Case Study: Portfolio construction
seminar
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Nematrian was asked to
develop a seminar for some asset managers looking at a range of asset
allocation disciplines. Topics covered included:
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Characteristics of different types of assets and liabilities
-
Philosophies underlying portfolio optimisation and portfolio
diversification
-
Modelling risk and return
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Taking transaction costs and liquidity risk into account
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Using options and other derivatives
-
Handling extreme events and coping with a world that is constantly
changing
The seminar also included
several case studies relating to topics such liability driven investment and
implied alphas.
Related material available via
Nematrian website
There is a reasonable
amount of material and analytical tools relating to portfolio optimisation in
the Nematrian Extensions part of the Nematrian website, see e.g. Portfolio
optimisation (general) and Portfolio
optimisation (web functions).