Attilio Meucci - 2010 Advanced Risk and Portfolio Management

[Andy Nguyen]

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Attilio Meucci - Advanced Risk and Portfolio Management The Only Heavily Quantitative, Omni-Comprehensive, Intensive Bootcamp August 16-21, 2010, Baruch College, New York

This six-day course covers all aspects of quantitative risk and portfolio management from the foundations to the newest developments.
The most advanced statistical and optimization techniques are thoroughly explained in theory and visualized in practice with live MATLAB examples and exercises. Topics include:

- Market modeling: random walk, ARMA, GARCH, Levy, long memory, stochastic volatility
- Multivariate statistics: non-parametric, non-normal MLE, shrinkage, robust, Bayesian estimation; copula/marginal factorization; location-dispersion ellipsoid
- Factor modeling: theory and pitfalls of time-series and cross-sectional factor models, CAPM, APT, principal components analysis, random matrix theory
- Pricing: full evaluation, Greeks approximation, stress-matrix interpolation; analytical, Monte Carlo, historical Risk analysis:
diversification, stochastic dominance, expected utility, Sharpe ratio, Omega, Kappa, Sortino, value at risk, expected shortfall, coherent and spectral measures
- Advanced management: robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication

Audience
Buy-side professionals (portfolio managers and risk managers) Sell-side professionals (traders, financial engineers, quantitative analysts, research teams) Academics and Students (finance and quantitative finance related fields)

Instructor:
Attilio Meucci leads the research effort of Bloomberg ALPHA, the portfolio analytics and risk platform at Bloomberg L.P. He has published extensively cutting-edge quantitative research for the buy-side and is the author of Risk and Asset Allocation, Springer.

Dates:
Monday August 16 through Saturday August 21, 8:30am-6:00pm

Location: Baruch College-CUNY, 55 Lexington Avenue (at 24th Street), New York

Cost:
$850 (Bloomberg/Academic/Student);
$1,200 (Partner);
$1,550 (Professional)

Inquire at arpm@baruch.cuny.edu for special group rates

Certifications: 40 CFA Institute CE units; Certificate in Advanced Risk and Portfolio Management, administered worldwide; 3 Baruch MFE academic credits.

Inquire at arpm@baruch.cuny.edu for more information

Charity: after minimum costs, each dollar paid will turn into a 50 cent donation to Doctors without Borders (Nobel Peace Prize, 1999) and a 50 cent investment in education at CUNY

Website and more information: Department of Mathematics - Baruch College
Detailed Program: Department of Mathematics - Baruch College
Registration: Department of Mathematics - Baruch College
Email contact: arpm@baruch.cuny.edu

Partners: CFA Institute, GARP, MathWorks, Quant Network

 

[Andy Nguyen]

The newsletter with the promo code will go out around 10AM today (Thurs) so if you haven't signed up for our newsletter already, please do so here

 

[Andy Nguyen]

Correction: you should all get the newsletter at 10:30AM EST.

 

[tylor]

I'm guessing as an undergraduate student of industrial engineering this is way out of my league?

 

[Andy Nguyen]

As long as you have the required background as stated on the FAQ page
Department of Mathematics - Baruch College

Q: What are the quant background requirements?
A: The course is fast paced. The prerequisites for the course are
- Linear algebra: matrix/vector notation and manipulations, trace, determinant, eigenvectors, eigenvalues
- Multivariate calculus: derivatives, integrals, Taylor expansions
- Statistics: basic concepts of distributions, probability density function, cumulative distribution function
Also, please follow through these examples, complete with solutions, and make sure you feel comfortable with those tools. No prior MATLAB knowledge is required for attending ARPM.

 

[tylor]

Ah. Do they do this every year? I'll be better qualified then. (only recently joined the site). Thanks a lot Andy!

 

[Andy Nguyen]

Yes. They did this in 2008 at NYU, 2009 at Baruch, 2010 at Baruch and in foreseeable future as the instructor, Attilio Meucci has joined Baruch teaching staff last year and is teaching the same course in the Baruch MFE program.

You can do it next year with a quantnet member discount as long as you subscribe to our newsletter

 

[MikeK]

Any idea if this course will ever be available in other cities? I'm just curious. I plan to attend it in August, unless they're planning on one in Chicago.

 

[dstefan]

There are no plans to offer ARPM in any other city than New York.

 

[Andy Nguyen]

Use "QN-ARPM-2010" code to receive the partner rate $1200, instead of the regular $1550.

 

[akiboshi]

I know The prereqs were covered before in a previous post and in the FAQ on the website. However for a person who has never taken linear algebra, but went through calc and stats in undergrad, how useful would this course be? Even then, it's been a number of years since studying intensive maths. What I am really afraid of is sitting down on the first day and getting barraged with symbols and terminology I have never heard of. Could someone who has gone through the boot comp chime in on their experience?

Let's assume that the cost isn't an issue.

 

[alain]

the class is intensive and it's very good but you need to put the time to do the pre-reqs. That will be the launching pad. If you have a blank stare while going through the pre-req, it only means you will have to work harder.

 

[PierreXu]

A proof to verify that I am entitled to a discount

So I've used the discount for students. What proof do I need to bring? Is a student ID enough?

 

[Andy Nguyen]

Just enter "QN-ARPM-10" in the partner box, select Student rate and bring your student ID to the first date.

 

[PierreXu]

Just enter "QN-ARPM-10" in the partner box, select Student rate and bring your student ID to the first date.

OK. Thanks for the information.

 

[dstefan]

Over 200 people from 31 countries registered so far!

 

[JonS]

Hey - just curious if anyone who attended ARPM in August and subsequently submitted the home project has received a response/result? I thought the results/details on the exam were to be out around 10/03/2010.

It's only been a day or so and I assume they are just delayed, so I didn't want to send an email to add to the administrative workload - but if anyone else that submitted a project (assuming there are quantnet readers that submitted a project) has received a response, I would follow up.

Anyway, thanks.

 

[dstefan]

We expect the grades to be emailed by the end of this week, hopefully sooner. All projects were graded, and a second look is being taken now.

 

[JonS]

Ahh, excellent. Thanks for the response - much appreciated.

 

[zyz]

Hello.
Will this event be held this year as well? Also, will there be any other useful events/workshops for students in this summer?
Thanks