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DAY TWO |
Tuesday,
July 17th
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THE QUANTITATIVE
TOOLS OF ASSET ALLOCATION |
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MEASURING RETURN
Arithmetic Returns
Geometric Returns |
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MEASURING RISK: A
SINGLE ASSET
Standard deviation:
its uses and abuses
VAR models
"Fat Tails" in
financial markets and their implications
Financial Market risks
in crisis situations |
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MEASURING RISK:
MULTIPLE ASSETS
Correlation and
Covariance
Systematic and Unsystematic Risk |
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ASSET CLASS
CHARACTERISTICS
Return and risk from
stocks, bonds, commodities and alternative
assets: evidence
Prospective return and
risk: the next five years |
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ALTERNATIVE RULES
FOR ASSET ALLOCATION
Focus Investing
The Kelly Optimization
ModelStock
selection algorithms
Rules based on
Prospective Real Returns
Strategies adopted by
hedge funds |
GUEST SPEAKER
John Stannard
Managing Director
RUSSELL GROUP
& former Chairman, Board of Governors, CFA INSTITUTE
Current Developments |
