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:


-          Characteristics of different types of assets and liabilities

-          Philosophies underlying portfolio optimisation and portfolio diversification

-          Modelling risk and return

-          Taking transaction costs and liquidity risk into account

-          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).


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