Active Portfolio Construction

• Review of "Passive" MPT Portfolio Construction
• Treynor/Black: Implementing Non-Zero Alpha Information
• Treynor, Roll, Grindold/Kahn: Taking into Account Alpha Forecast Risk
• Black/Litterman Model and the Intuitions Behind It
• Bayesian Approach to Forecasting
• Implementing Absolute, Relative and Basket Forecasts Across Portfolio

While Modern Portfolio Theory (MPT) is well known for its passive and factor recommendations, information on the active portfolio construction methodologies is less available and scattered. This course provides an overview of the methods proposed since the early work of Markowitz and Sharpe to build and manage active portfolios based on private alpha information subject to forecast risk. This program is suitable for junior and advanced investment professionals as well as non-technical stakeholders in the investment process who require a top-down overview. Formulas and models will be presented in a summarized form, but the spirit of this course is application-oriented, leaving room for discussions and participant questions.

Junior up to advanced investment professionals, risk managers, investment analysts, investment committee members, senior management, relationships and sales professionals.

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