Tag Archives: Portfolio Management

6 day course Advanced Risk and Portfolio Management Bootcamp

I would do this!
I. ARPM Bootcamp 2015
Six-day course Advanced Risk and Portfolio Management Bootcamp
Dates: July 13-18, 2015. Location: New York University – Kimmel Center.
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPD units GARP)

The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Alex Lipton, Bob Litterman, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Supporters (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Supporters (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, MSCI, NAG,…); and several Masters in Financial Engineering (CQF, Washington, MIT, Carnegie Mellon, NYU, Cornell, …)
http://www.symmys.com/arpm-bootcamp

http://www.symmys.com/arpm-bootcamp/registration

For program and overview, click here. To register, click here.

Advanced Risk and Portfolio Management (ARPM) Bootcamp, by Attilio Meucci – SYMMYS

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II. Featured white papers: special issue on diversification
 The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com.
Selected featured articles:
  • Fact, Fiction, and Value Investing, by C.S. Asness, A.Frazzini, R. Israel, T.J. Moskowitz, read article
  • Backtest Overfitting Demonstration Tool: An Online Interface, by D.H. Bailey, J.M. Borwein, A. Salehipour, M. Lopez de Prado, Q.J. Zhu, read article
  • Dynamic Portfolio Management with Views at Multiple Horizons, by A. Meucci, M. Nicolosi, read article
  • Facts and Fantasies about Factor Investing, by Z. Cazalet, T. Roncalli, read article

                                                                   

   III. Buy-side quant discussions on LinkedIn

View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:

– Machine Learning: Questions about the quality/(quantity) for Labels, Features, Samples and Accuracy
– Applying Machine Learning to FX and Futures HFT
– Filling in Missing Data when Data Points are Missing-At-Random
– CUSUM and Related Techniques
Hedged Monte Carlo for Corporate Bonds on Incomplete Markets

Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.

IV. Upcoming Events
First Baruch Volatility Workshop by Jim Gatheral and Andrew Lesniewski
June 16-18, 2015, Baruch College, New York
This three-day, heavily quantitative, leading edge workshop targeted to industry professionals offers a unique opportunity for participants to catch up with cutting edge developments in volatility modeling in both equity and interest rates markets.
Topics (selected): fitting SVI; VIX, VVIX, and volatility derivatives; Arbitrage-free SABR; Risk management with SABR; Rough Volatility
Contact: Volatility.Workshop@baruch.cuny.edu

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Review of the Anton Kreil Institute of Trading and Portfolio Management presentation In New York

Anton Kreil could be the real deal as hinted in this review:

This a review from the NYC Contact on his view of the Anton Kreil Institute of Trading and Portfolio Management presentation – See more at: https://quantlabs.net/blog/2014/05/this-a-review-from-the-nyc-contact-on-his-view-of-the-anton-kreil-institute-of-trading-and-portfolio-management-presentation/#sthash.lcidx6Yo.dpuf

Are they trying to indirectly sell me something with this link:

Credit Crisis II after 2008? The Setup Appears in Place from Elliot Wave Theory – See more at: https://quantlabs.net/blog/2014/05/credit-crisis-ii-after-2008-the-setup-appears-in-place-from-elliot-wave-theory/#sthash.CLTrVzYW.dpuf

This community is really helpful to share what I learn. Here is an example of an offering from someone:

Is Matlab Builder NE really fast with DotNet and CSharp vs the Production Server? – See more at: https://quantlabs.net/blog/2014/05/is-matlab-builder-ne-really-fast-with-dotnet-and-csharp-vs-the-production-server/#sthash.FB4xs9fF.dpuf

I am not sure how long I can keep this offering but once we get our new camaign underway for the Quant Elite, I may pull this permanantly! This is currently 1/15 of the price to get you started!

–> GET AFFORDABLE ACCESS TO MY PREMIUM MEMBERSHIP <–

Many benefits listed here.

Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

CAPM demos to calculate stock beta efficient frontier and portfolio management weight allocation

CAPM demos to  calculate stock beta efficient frontier and portfolio management weight allocation

http://www.mathworks.com/discovery/capm.html

http://www.mathworks.com/help/finance/risk-adjusted-return.html#bqwfow5

http://www.mathworks.com/help/finance/investment-performance-metrics-1.html

http://www.mathworks.com/help/finance/examples/capital-asset-pricing-model-with-missing-data.html

http://www.mathworks.com/help/finance/risk-adjusted-return.html#bqwfow5

http://www.mathworks.com/help/finance/portfolio-selection-and-risk-aversion.html#f9-6202

Join my FREE newsletter if you find this useful 

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci

Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci
Dates: August 11-16, 2014. Location: New York University
40 CE units CFA Institute, 40 CPE units GARP

The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises.

Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more.

Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve.

See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk

To register with the discounted partner rate go to http://www.symmys.com/arpm-bootcamp/registration, then see 1) “Registration Type”, select “Partner”; 2) go to “Specify”, select “Other”; 3) go to “Specify”, type “Terrapinn”, or contact us at arpm.bootcamp@symmys.com

JOIN OUR FREE NEWSLETTER TO LEARN MORE ABOUT THESE EVENTS  

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Attilio Meucci – Advanced Risk and Portfolio Management Bootcamp announcements

Attilio Meucci – Advanced Risk and Portfolio Management Bootcamp announcements
I. ARPM Bootcamp 2014
Registration for the six-day course Advanced Risk and Portfolio Management Bootcamp is open! Dates: August 11-16, 2014. Location: New York University – Kimmel Center.
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPE units GARP)

The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Partners (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Partners (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, NAG,…); and several Masters in Financial Engineering (Berkeley, Washington, MIT, Carnegie Mellon, …)

For program and overview, click here. To register, click here.


 

II. Featured white papers: special issue on diversification
The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com
Selected featured articles:
  • Positional Portfolio Management, by P. Gagliardini, C. Gourieroux, M. Rubinread article
  • Equal Risk Bounding Is Better then Risky Parity For Portfolio Selection, by F. Cesarone, F. Tardellaread article
  • Algorithmic Trading with Learning, by A. Cartea, S. Jaimungal, D. Kinzebulatovread article
  • Neither ‘Normal’ nor ‘Lognormal’: Modeling Interest Rates Across All Regimes, by A. Meucci, A. Loregianread article


III. Buy-side quant discussions on LinkedIn

View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:

– Correlation and Joint Distribution by Using Copula
– Impact of Higher Moments on Portfolio Optimization
– Application of the 10 steps of “the Prayer” to Portfolios with a Benchmark

Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.

                                                      IV. Upcoming Events
MathFinance Conference 2014
The MathFinance Conference is the largest quantitative finance event covering the European market and an influential driver in the dissemination of ideas, information and knowledge. Renowned speakers from all over the world, including Senior Quantitative Analysts, Risk Managers and Academics, deliver their talks as part of this two-day event, to be held in Frankfurt on the 14th and 15th of April 2014.
Take a look at our Conference Handout and Registration Page!

The Trading Show Chicago
June 4-5, 2014, Navy Pier, Chicago, IL.
Chicago’s leading quant, automated trading, exchange technology and big data event, the Trading Show Chicago is the only place you will hear from leading CTO’s, CEOs, and experts in proprietary, quant investing and exchange technology.

Whether you’re focused on new quantitative models, adopting low latency systems or managing risk, The Trading Show Chicago provides unparalleled opportunities to network and ultimately do business with top trading firms, quant funds, international exchanges, end investors, banks, brokers, and technology providers.
Download the brochure here

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

See “The Prayer” – Ten-Step Checklist for Advanced Risk and Portfolio Management with Attilio Meucci

See “The Prayer” – Ten-Step Checklist for Advanced Risk and Portfolio Management with Attilio Meucci

The NYC Contact says this was one of the best he has seen so thanks to him for this

http://www.mathworks.com/videos/the-prayer-ten-step-checklist-for-advanced-risk-and-portfolio-management-with-attilio-meucci-81834.html?form_seq=conf1008&confirmation_page&wfsid=5413443

Join my FREE newsletter to see what else we use from this guy

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

FREE Million Dollar Trader Anton Kreil Institute of Trading and Portfolio Management event in New York

From  my NYC contact so big thanks to him for this HUGE score. It’s FREE!

Join my FREE newsletter on exciting events like this!

Fellow Traders,

The Institute of Trading and Portfolio Management and Anton Kreil are looking to hold a FREE seminar on Trading and Portfolio Managment exclusively for Retail Traders in the New York metropolitan area during May 2014.

PLEASE NOTE: The event is not yet organised. We are currently in the “Pre-Registration” phase. We are doing this in order to gauge interest in the area. If interest in this event is high, then we will announce the seminar first to anyone who “Pre-Registers” here so you can secure your place first!. If interest is low then we will not go ahead with the seminar and let you know closer to the time.

Your registration details will not be shared or used in any other way.

In order to help us make sure this seminar goes ahead, we would appreciate it if you did just 2 things;-

1. Pre-Register for the event yourself….

2. Invite your friends who are active Retail Traders within your network and located in the Tri-state area to also Pre-Register.

HELP ME HELP YOU! – Help us to build interest in the seminar and we will announce the event and help you become a consitently profitable trader!

http://www.eventbrite.sg/e/pre-registration-interest-list-new-york-metropolitan-area-tickets-10601137287

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Future HFT membership potential with even override kill panic button, cash position, and portfolio management with source code

Hi there
Here are two crucially important alerts you should know about:
Hft potential componenets complete with source code in DotNet CSharp C++ and Matlab
https://quantlabs.net/blog/2013/08/hft-potential-componenets-complete-with-source-code-in-dotnet-csharp-c-and-matlab/
Here is a surprise bonus I never really focused on for my QuantLabs.net Premium Membership


C# Demo XXX Interactive Brokers TWS with  cash position and portfolio management

So now I have posted a video with access to C# source for these topics. This eliminates the complexity of cash position and portfolio management. It even includes a panic button to override everything to close out open positions. Very powerful stuff!
Once I close out this membership, it is these sort of topics that are lost to the general public. There are literally dozens of these gold nuggets throughout the membership. But remember, it will be closed off to the public in coming weeks FOREVER!
–> JOIN NOW TO FIND THESE HIDDEN GOLDEN NUGGETS <–


QuantLabs.net Premium Membership benefits listed here.

Thanks for reading
Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Is the best Advanced Risk and Portfolio Management course on the planet with examples done in Matlab? Attilio Meucci

Is the best Advanced Risk and Portfolio Management  course on the planet with examples done in Matlab? Attilio Meucci

http://www.symmys.com/arpm-bootcamp/program

Learn more how I plan to use this in my trading environment

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!