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One Week, Heavily Quantitative, Omni-Comprehensive, Buy-Side Bootcamp by Attilio Meucci August 13-18, 2012 New York University - Kimmel Center, 60 Washington Square South, New York City symmys.com What you get Knowledge: in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in six intensive days of theory and MATLAB live examples and exercises o Market modeling: random walk, ARMA, GARCH, Levy, long memory, stochastic volatility o Multivariate statistics: non-parametric, non-normal MLE, shrinkage, robust, Bayesian estimation;
copula/marginal factorization; location-dispersion ellipsoid components analysis, random matrix theory o Pricing: full evaluation, Greeks, stress-matrix interpolation; analytical, Monte Carlo, historical o Risk analysis: diversification, stochastic dominance, expected utility, Sharpe ratio, Omega, Kappa, Sortino, value at risk, expected shortfall, coherent and spectral measures o Portfolio construction: robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication

o Factor modeling: theory and pitfalls of time-series and cross-sectional factor models, CAPM, APT, principal

Textbook: Risk and Asset Allocation - Springer by Attilio Meucci Code: full set of case studies; temporary MATLAB license Certification: All attendees will be awarded
o 40 credits - CFA Institute Continuing Education Program o 40 credits - GARP Continuing Professional Educational Program o Certificate of Attendance - Advanced Risk and Portfolio Management Bootcamp o Certificate in Advanced Risk and Portfolio Management (optional)

Meet the stars: Almgren, Carr, Derman, Dupire, Litterman, Mercurio, more What you pay $850 (Academic/Student); $1,200 (Partner); $1,550 (Professional); group rates (contact us). After expenses, profits will be donated to charities. Audience Finance professionals with quantitative background
o Portfolio managers/risk managers on the buy-side will will learn the latest developments in the field and deepen their knowledge of mainstream approaches o Sell-side professionals will bridge the gap to quantitative buy-side finance

Academics and students Instructor Attilio Meucci, PhD, CFA. Chief risk officer, Kepos Capital LP. Author, Risk and Asset Allocation - Springer. Regular contributor to Risk Magazine, GARP Risk Professional Magazine Registration / information symmys.com

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Day 1 Monday, 13 August 2012

Morning Session

Introduction/Quest for Invariance (8:30-12:30)

P vs Q: the worlds of quantitative finance The Prayer: modular steps of ARPM

Afternoon Session

Quest for Invariance/Projection/Pricing (13:30-16:00)

Advanced dynamics in continuous time

P1: Quest for Invariance P2: Estimation P3: Projection P4: Pricing P5: Aggregation P6: Attribution P7: Evaluation P8: Optimization P9: Execution P10: Ex-Post Analysis

Random walk: Levy processes Autocorrelation: Ornstein-Uhlenbeck Long memory: fractional Brownian motion Volatility clustering: stochastic volatility Volatility clustering: subordination

Projection to investment horizon

- Analytical projection - Numerical projection: Fast Fourier Transform; simulations - Annualization of skewness, kurtosis, etc. - Square-root/linear risk ellipsoid propagation
Pricing at investment horizon

Invariance and the random walk

- Equities: log-returns - Fixed-income: changes in yield to maturity - Derivatives: (log) changes in vol. surface
Advanced dynamics in discrete time

Autocorrelation and AR(1) processes ARMA processes and Wold's theorem Long memory: fractional integration Volatility clustering: GARCH

- Full analytical: log-distributions - Full numerical: scenario pricing (Monte Carlo/historical) - Taylor approximation: theta-delta/vega- gamma; carryduration-convexity - Stress-matrix approximation

Review & Exercises (16:00-18:30) Guest Lecture by Mark Carhart (18:30-19:15)

Day 2 Tuesday, 14 August 2012 Quest for Invariance II (8:30-12:30)

Multivariate statistics Morning session Afternoon session

Linear Factor Models (13:30-16:00)

The five applications of LFMs

- Distribution taxonomy - Representations: pdf, cdf, cf, quantiles, scenario/probabilities - Spectral theorem / covariance visualization
Copulas

Multivariate estimation Asset pricing theory Search for alpha Portfolio optimization Risk attribution/hedging

- Copulas in theory - Copulas in practice: Copula-Marginal Algorithm - Panic copulas with Fully Flexible Probabilities
Multivariate dynamics

LFMs case studies

- Swap market: PCA and Fourier basis - Stock market: fundamental, macro, random matrix theory
Factor modeling pitfalls

- Multivariate Ornstein-Uhlenbeck process - Cointegration - Statistical arbitrage

Linear factor models

Systematic-idiosyncratic vs dominant-residual LFMs Distributional r-square Time-series, cross-sectional, statistical/PCA LFMs Factor analysis

Returns vs. invariants vs. P&L The idiosyncratic myth CAPM vs. APT vs. LFMs Time-horizon beta

Review & Exercises (16:00-18:30) Guest Lecture by Fabio Mercurio (18:30-19:15)

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Day 3 Wednesday, 15 August 2012

Morning session Afternoon session

Estimation I (8:30-12:30)
Estimators

Estimation II (13:30-16:00)
Robust estimators

General definitions Evaluation: bias, inefficiency, error Stress-testing Generalized p-values, generalized t-statistics

Multivariate non-parametric estimators

- Sample quantile and order statistics. - Sample mean/covariance and best-fitting ellipsoid - Sample factor loadings, betas, and OLS
Multivariate maximum-likelihood estimators

- Assessing robustness: the influence function - Huber's "M" robust estimators: location, scatter and betas - Outlier detection and high-breakdown estimators - Minimum-volume ellipsoid and minimumcovariance determinant
Missing data

- EM algorithm - ML marginalization

- Normal hypothesis: sample estimators - Non-normal hypothesis: fat tails and outlier rejection
Shrinkage estimators

Review & Exercises (16:00-18:30) Cocktail party (18:30-21:00)

See last page

- Stein mean - Ledoit-Wolf covariance

Day 4 Thursday, 16 August 2012 Risk Management I (8:30-12:30)

Portfolio aggregation Morning session

Risk Management II (13:30-16:00)

Expected utility and certainty-equivalent

Afternoon session

- P&L vs. returns - Holdings vs. weights

Risk attribution

- Analytical solutions: mean-variance as satisfaction - Numerical solutions

Quantiles and value at risk (VaR)

Bottom-up approach Factors on Demand Portfolio-specific factor models Non-Greek few-out-of-many hedging

Investor's objectives

Semi-analytical solutions in elliptical markets Cornish-Fisher approximation Extreme value theory (EVT) Numerical solutions Contribution to VaR from securities/factors

- Total return - Benchmark allocation - Net profits

Portfolio evaluation

Coherent measures of performance

- Stochastic dominance - Satisfaction indices

Non-dimensional indices

- Expected shortfall (ES) and conditional value at risk (CVaR) - Contribution to ES from securities/factors - Spectral measures of performance
Stress Testing for estimation risk

- Sharpe ratio, Omega, Sortino ratio, Kappa

Diversification

- Review of common definitions - Conditional principal portfolios - Effective number of bets

- Basic stress testing - Panic copulas with Copula-Marginal Algorithm - Fully Flexible Probabilities (time/state/entropy pooling conditioning) - Fully Flexible Bayesian networks

Review & Exercises (16:00-18:30)

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Day 5 - Friday, 17 August 2012 Portfolio Management I (8:30-12:30)

Constrained optimization: computationally tractable Morning session

Portfolio Management II (13:30-16:00)

Estimation risk

Afternoon session

problems - Linear and quadratic programming - Second order and semi-definite cone programming
Two-step heuristics

- Allocation as a decision - Opportunity cost as loss of an estimator

Simple allocation techniques

Affine equivariance of expectation and covariance Analytical mean-variance: two-fund theorem Numerical mean-variance: quadratic programming Mean-CVaR and alternative trade-offs

- Prior allocation: efficiency Sample-based allocation: unbiasedness

Robust allocation

Benchmark vs. total-return portfolio management

- Box uncertainty sets - Elliptical uncertainty sets (second-order cone programming)

- Expected outperformance, tracking error, info ratio - Frontier in total-return coordinates - Frontier in relative-return coordinates
Pitfalls of mean-variance

Review & Exercises (16:00-18:30) Guest lecture by Rob Almgren (18:30-19:15)

Day 6 - Saturday, 18 August 2012

Morning session (8:30-12:30) Afternoon session(13:30-16:00)

Portfolio Management III

Multivariate Bayesian estimation

Portfolio Management IV
Dynamic allocation strategies

- Theoretical background - Analytical solutions: Normal-Inverse Wishart model - Numerical solutions: Monte Carlo Markov Chains
Bayesian allocation

Convex/concave strategies CPPI Delta-replication Drawdown control

- Predictive return allocation - Classical-equivalent allocation

Tactical portfolio construction

Liquidity

- Rosenberg-Grinold - Black-Litterman - Black-Litterman for derivatives

Beyond Black-Litterman

- Transaction costs - Market impact - Best execution

Entropy Pooling and Fully Flexible Views Non-normal markets Non-linear views Generalized stress-testing Ranking allocation

Guest lecture by Peter Carr (16:00-16:45) Review & Exercises (16:45-18:30)

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Cocktail Party - Wednesday, 15 August 2012

18: 30 19:00: Buffet and refreshments 19:00 20:00: Guests 19:00-19:10: Peter Carr - Math by the Numbers 19:10-19:30: Emanuel Derman - Models.Behaving.Badly 19:30-19:50: Bob Litterman - Experiences of a P-Quant 19:50-20:00: Bruno Dupire - Experiences of a Q-Quant

20: 00 20:15: Buffet and refreshments 20: 15 20:35: Corporate Partners 20:15-20:20: Chris Donohue, Director of Research and Educational Programs - GARP 20:20-20:25: Sebastian Ceria, Founder and Chief Executive Officer - Axioma 20:25-20:30: Andy Sparks Head of Product Management - MSCI 20:30-20:35: Dan diBartolomeo President and Founder - Northfield Information Services, Inc.

20: 35 21:00: Buffet and refreshments

Corporate Partners of ARPM Bootcamp 2012

Affiliaton with our partners grants a $350 discount in tuition