QUANTITATIVE EQUITY PORTFOLIO AND RISK MANAGEMENT

 

SDA Bocconi School of Management is registered with CFA Institute as an Approved Provider of continuing education programs for CFA Institute members. This program qualifies for 28 CE credit hours. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE tracking tool. CFA Institute members receive 10% off the program fee.

 

Quantitative Equity Portfolio and Risk Management is a PRMIA Third Party Provider Program.
PRMIA members receive 10% off the
program fee.


Dates

7-10 July, 2014

Value Drivers 

The program focuses on quantitative tools and techniques to build and manage tactical equity portfolios. After a brief introduction of the fundamental quantitative techniques and of the theoretical framework of stock market anomalies and return patterns, the attention will be devoted to the construction of short term return forecasting models and to the implementation of tactical long-only and market-neutral portfolio strategies. The program is designed according to a rigorous hands-on approach: every theoretical lesson will be followed by a computer-based session where the various techniques will be tested on real market data. At the end of the program participants will be asked to build and test their own model. 

 "A good mixture of academic and real life practices"

Osama Alharthi - Mutual Funds Officer at Capital Market Authority - Riyad (Saudi Arabia) 2013 Edition Participant

 

Participants

  • Portfolio managers with at least 2/3 years of experience wishing to acquire a rigorous and practical knowledge of quantitative portfolio management techniques.
  • Hedge fund managers wishing to benefit from the latest research and practice.

Contents 

The program will stress the ability to design and implement tactical allocation strategies by devoting around forty percent of class time to computer-based exercises with Matlab®. No prior knowledge of the software is required.

  • Quantitative techniques for portfolio management
  • Matlab® for portfolio optimization
  • The basic models for quantitative portfolio management
  • Model Implementation 1
  • Factor models for short term return forecasting
  • Model Implementation 2
  • Implementing a portfolio strategy

Faculty 

Carlo Favero, SDA Bocconi
Marco Navone, SDA Bocconi 
Giovanna Zanotti, SDA Bocconi 

Reference Material 

The program will be mainly based on the book: 
Chincarini and Kim, Quantitative Equity Portfolio Management , McGraw Hill, 2006. 
A program packet with a collection of journal articles will also be provided as background material. 

Enrollment procedure 

Please complete the enrollment request form, available on this web page, and mail or fax to: 
SDA Bocconi School of Management 
fax +39 02 5836.6802
email: micaela.valli@sdabocconi.it 

The final deadline for application is 17 June 2014
Enrollment requests are reviewed on a rolling basis, those received after the final deadline may not be accepted. 
Please see details in the enrollment request form. 

Participation fee 

€ 3.000 + VAT (if required) 

Special Payment Terms

  • A 10% reduction on the program fee is offered to applications sent in 8 May 2014.
  • CFA Institute members receive 10% off the program fee. 
  • PRMIA members receive 10% off the program fee.

These offers are not cumulative.

See all Special Payment Terms