Portfolio Optimization Advanced
Thursday, August 02, 2018, 09:00am - 10:00am
Contact Andrew Grauberg

Hedge Fund Portfolio Optimization: Advanced Techniques

Explaining problems of non-linear portfolio optimization for hedge funds and fund of funds. Tail-based metrics and objective functions (CVaR, LPM, VaR, MVaR, Omega etc). Constructing market-neutral portfolios. Beta constraints and user-defined objective functions. Risk Shell portfolio optimization component explained.

Unique Problems of Hedge Fund Portfolio Optimization

  • Learn advanced portfolio optimization models applicable to non-normal distributions of returns.
  • Understand why the mean-variance methodology is not applicable to hedge funds.
  • Understand beta constraints (market factor exposures) for constructing market-neutral portfolios.
  • Understand the optimization framework of Risk Shell.

Fund of Funds Portfolio Optimization

  • Introduction to advanced objective functions that take into account the non-normality of return distributions: Conditional Value-at-Risk (CVaR), Omega, Maximum Drawdown, Conditional Drawdown (CDaR) and Lower Partial Moments (LPM).
  • Risk Shell optimization component: setting objective functions and constraints.
  • User-defined objective functions for portfolio optimization.
  • Advanced optimization functions: backtesting and background optimization.

Market-Neutral Portfolio Optimization

  • Market-neutral portfolios (hedge fund of funds and multi-asset): defining the optimization model.
  • Risk Shell tools to add factor constraints to the optimization model.

Hedge Fund Portfolio Liquidity and Exposure Optimization

  • How to define liquidity and exposure constraints.
  •  Working with β tables for optimization constraints.

Potential Audience

Institutional portfolio managers, hedge FoF and multi-asset portfolio managers, CIOs, advanced family offices.

Location online
EST time zone. For existing customers only
Registrations are now closed


We use cookies to improve our website. By continuing to use this website, you are giving consent to cookies being used. More details…