Multi strategies Portfolio management under risk constraints
The objective of this project is to develop a tool for designing porfolio of Multi-strategies under risk constraints and budgeting.
A Risk Tool
specification for traders and asset managers to master the risk under Maximum Drawdown and Value at Risk constraints, to define trading envelopes, and
to allocate the risk to the different traded assets or funds using different approaches, including trader views, risk contribution equally weighted, etc ...
see also MAILLARD, S. & RONCALLI, T. & TEILETCHE, J. "On the Properties of
Equally-Weighted Risk Contributions Portfolios"
, September 2008.
and presentation slides
Future Market Prices: downloads/risk-tool-assets-lasts.csv
Future Market Symbols: downloads/risk-tool-assets-symbols.csv
Typical NAV: downloads/risk-tool-nav.txt
Tool: matrix.zip>MATRIX and LINEAR ALGEBRA Package For EXCEL
see also foxes team
Robust Modeling for Asset Management
Contents: review of classical approach, lack of robustness with respect to input paramters and estimation errors, resampling of the efficient frontier (boostraing), bayesian methods (Black Litterman, Shrinkage, ...), Principal Component Analysis, Random Matrix, Filtering methods (Kalman Filters, ...),
efficient frontiers under risk measures (VaR, CVaR, ...)
incorporating deviations from normality,
Portfolio construction with transaction costs, Risk Adjusted Performance Measures, Risk Budgeting
ALEXANDER C., "Market Risk Analysis: Quantitative Methods in Finance", Wiley 2008
[pdf] Principal Component Analysis
ALEXANDER C., "Market Risk Analysis: Practical Financial Econometrics", Wiley 2008
[pdf] Principal Component Analysis
LITTERMAN, R. "Modern Investment Management: An Equilibrium Approach". Wiley; 1 edition (July 3, 2003)
FABOZZI F. , "Financial Modeling of the Equity Market: From CAPM to Cointegration", Wiley (January 3, 2006)
GRINOLD, R. C & KAHN, R. N. "Active Portfolio Management" . McGraw-Hill, 1999
SCHERER, B. "Portfolio Construction and Risk Budgeting" . Risk Books, Feb 2007
Portfolio Resampling and estimation error
Bayesian Analysis and Portfolio Choice
SCHERER, B & MARTIN, R. D. "Introduction To Modern Portfolio Optimization With NUOPT And S-PLUS". Springer, May 2005
Data from ALEXANDER C., Market Risk Analysis: Practical Financial Econometrics, Wiley 2008
- Case Study II.1, prices of Vodafone, Nokia
NYSE Index, Communications, Growth, Large Cap. indices
- Example II.1.4, prices of VAA VIT FAA FID R1000V R1000G R2000V R2000G indices
- Exam 2013
- Exam 2012
- Exam 2011
- Exam 2010
- Exam 2009
Econometry using Excel
Stylized facts, modeling, estimating and forecasting volatility (GARCH, Riskmetrics, ...), Extreme Value Theory, Estimating and backtesting Value at Risk, including non linear risks with options (delta normal, delta gamma, Monte Carlo), Regression analysis (simple, multiple, principal component analysis), portfolio management and model testing (CAPM, APT, ...), statistical arbitrage (pairs trading and co-integration), ... including practical works using actual market data - European indices, stocks, currency and bonds markets, Hedge Fund indices (CSFB/Tremont).
with R-project: Stylized facts, modeling, estimating and forecasting volatility (GARCH, Riskmetrics, ...), Extreme Value Theory, Estimating and backtesting Value at Risk, including non linear risks with options (delta normal, delta gamma, Monte Carlo), Optimal Trading and rebalancing, portfolio management and model testing (CAPM, APT, ...), statistical arbitrage (pairs trading and co-integration), ... application to actual market data - European indices, stocks, currency and bonds markets, Hedge Fund indices (CSFB/Tremont).
R-project is the most powerful environment for statistics computing. It includes numerous functions suitable to quantitative finance (Time Series analysis, GARCH modeling, multivariate analysis, Extreme Value analysis, Optimisation, Options, ... numerous library for non linear analysis - non parametric analysis, data mining, neural network, ). R is open source !!!
Portfolio Management course:
the objective of this course is to go beyond the classical Mean/Variance framework (CAPM, APT, ...), including the pitfall and difficulties of the classical approach (estimation errors, sensitivity to input parameters, ...), some methods to overcome those problems: portfolio tilting, Treynor-Black, Black Litterman. Active Portfolio management: techniques and rules (Grinold), Portfolio Rebalancing and transaction cost issues. Other risk measures, including Value at Risk, Conditional Value at Risk. Risk Adjusted Performance Measures: drawbacks of the Sharpe ratio, and some alternative measures: Stutzer Index, Omega, Hodges Generalized Sharpe Ratio, ... Applications to alternative portfolio management.
[fr] Hedge Funds course
Part I - Introduction:
Historical perspective, structure and organization, legal issues, strategies
Part II: quantitative aspects: stylized facts, fat tails, no significant correlations with standard asset classes, non linear returns, ... Efficient frontier with Hedge Funds, style analysis and performance attributions, principal component analysis, alternative risk adjusted performance measures, ...
Risk Adjusted Performance Measures: Sharpe ratio, Treynor, Jensen, M2, Information Ratio are reviewed. In case of fat tails and non linear returns, such measures may lead lead to wrong decisions. It is preferable to use some alternative measures such as the Sortino Ratio, the Stutzer or Morningstar, Hodges Generalized Sharpe ratio, ...
- Exam 2010
- Exam 2009
- Exam 2008
- Exam 2005
La Gestion Alternative de F.S. Lhabitant,
Hedge Funds: Quantitative Insights de F.S. Lhabitant,
La Gestion Alternative Noel Amenc et Al.
Risk Management CourseThis course provides an introduction to financial risks and the issues involved in identifying, measuring, computing and managing financial risks. We will focus on Market Risk, tools and methods for identifying sources of risk and risk factors, for hedging and implementing VAR methods.
Yield Curve - project
The objective of this project is to build zero coupon yield curve from available governmental bonds. Different methods are considered, implemented and compared: direct methods, bootstrap method,
splines, polynomial (Mc Culloch) or exponential (Vasicek et Fong).
The development will be performed in C# and algorithms adapted from
"Numerical Recipes", for example.
Data source: Bloomberg, Européen EuroMTS (ex CNO Etrix), ...
Languages and Development tools .NET, C#, ...
Optimization of the Efficient Frontier - project
This project is to implement methods and tools related to the mean variance analysis and portfolio optimization. After preliminary testing some issues like the estimation errors of the returns (mean blur), the covariance matrix, e will implement the CAPM models. Finally, the main objective of this project will be to implement the Black Litterman approach to mix market equilibrium and the manager views in an optimal way.
Hedging Exotic Options - project
Implementing andd comparing different methods to price and hedge exotic option, such as digital, barrier, asian, look-back, basket options. Some products with discontinuous payoffs will be difficult to hedge (such as barriers or digitals). For such options, dynamic and static methods shall be compared.
This project also include courses on Exotic options, numerical methods (binomial, Monte Carlo, finite elements, ...)
Value at Risk - project
Hedge Funds - Risk/Return analysis - project
Hedge Fund - impacts of remuneration structure - project
Coherent Risk Adjusted Performance Measures - project
The benefits of Rebalancing and the costs ...
Market Microstructure et APIs
Automated Trading I
Futures markets and the Trading Plateform RAPT/YATS
Automated Trading: Risk Management, strategies: rebalancing, pairs trading, programming aspects ...
options and warrants(old)