ARPM Bootcamp - Overview

One-week, Heavily Quantitative, Omni-Comprehensive Buy-side Training
August 15-20, 2016 at New York University, USA

    What You Get

    »Knowledge: in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in 6 intensive days of theory and MATLAB live examples and exercises:
    • 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, 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
    • Portfolio construction: robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication
    »Textbook: Risk and Asset Allocation by Attilio Meucci;
    »Code: full set of case studies; temporary MATLAB and NAG licenses;
    • 40 credits - CFA Institute Continue Education Program
    • 40 credits - GARP Continuing Professional Development Program
    • Certificate of Attendance - Advanced Risk and Portfolio Management Bootcamp
    • Certificate in Advanced Risk and Portfolio Management (upon completion of an optional examination)
    »Networking: mingle with like-minded people; meet our guests speakers Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Fabio Mercurio, Emanuel Derman, Alex Lipton and Steven Shreve; network with our corporate supporters Sebastian Ceria - Axioma, Dan diBartolomeo - Northfield, Peter Zangari - MSCI, plus GARP, CFA Institute, Mathworks, NAG; learn more
    »Bookstore: Access quant books at a discount here

    What You Pay

    $1,100 (Academic/Student); $1,600 (Supporter); $2,100 (Professional); group rates contact us (


    Monday August 15 through Saturday August 20, 2016, 8:30am-6:00pm New York University - Skirball , 566 LaGuardia Pl, New York City


    »Finance professionals with quantitative background:
    • Portfolio managers/risk managers will learn the latest developments in the field and deepen their knowledge of mainstream approaches
    • Sell-side professionals will bridge the gap to quantitative buy-side finance
    »Academics and students


    Attilio Meucci, PhD, CFA. Chief risk officer at KKR. Author of Risk and Asset Allocation. Regular contributor to publications, including Risk Magazine and to GARP Risk Professional Magazine. Click here to learn more about Attilio.


    For more information, please contact us (! Also, please check out our video here