Portfolio Optimization Basics
Monday, September 13, 2021, 08:30am - 09:30am
Contact Chris Bartlett, Paul Silverberg

Introduction To Hedge Fund Portfolio Optimization

The performance of hedge fund portfolios (hedge Fund of Funds) can be greatly improved if the portfolio is properly optimized. The problem is that not all optimization models, in particularily, the most commonly used mean-variance framework, can be used for hedge funds because of the non-normality of their disributions of returns. This tutorial discusses the main problems of hedge fund optimization and guides you through the steps of using Risk Shell optimization to build robust investment portfolios applying more advanced alternative techniques. These techniques are equally applicable to a broad range of multi-asset and equity portfolios.

Hedge Fund Portfolio Optimization - Why You Need It

  • Learn the main benefits of portfolio optimization and the scopy of the classicportfolio optimization.
  • Understand drawbacks of using the traditional mean-variance methodology for the hedge fund portfolio optimization.
  • Understand the scope of advanced risk statistics for portfolio optimization, objective functions accessing tail risks.

Hedge Fund Portfolio Optimization - Step-by-Step Tutorial

  • Preparing Risk Shell wallets for portfolio optimization. Working with short return series and using proxies for backfilling.
  • Considerations of the number of funds and return data points for different optimization models.
  • Risk Shell optimization charts: the Efficient Frontier, Allocation Weights and Beta exposures,
  • Adding simple allocation constraints.
  • Backtesting your optimization model.
  • Risk Shell optimization component: advanced controls and settings.

Potential Audience

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

Location online
GMT time zone - morning session.
UK & Europe time zone.
Registrations are now closed

Back

x

Demo Request

 

  Mail is not sent.   Your email has been sent.