ARPM Bootcamp by Attilio Meucci - Overview

One-week, Heavily Quantitative, Omni-Comprehensive Buy-side Training

    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 license;

    »Certifications

    • -40 credits - CFA Institute Continue Education Program
    • -40 credits - GARP Continuing Professional Educational Program
    • -3 academic credits - Baruch College, Master's in Financial Engineering Program (for enrolled MFE students)
    • -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, Emanuel Derman, Bruno Dupire, Bob Litterman, Fabio Mercurio; network with our coporate partners Sebastian Ceria - Axioma, Mark Carhart - Kepos Capital LP, Dan diBartolomeo - Northfield; learn more

    What You Pay

    $850 (Academic/Student);$1,200 (Partner), $1,550 (Professional), group rates contact us
    After regular expenses and rent for the venue, profits will be donated to charities

    When/Where

    Monday August 13 through Saturday August 18, 8:30am-6:00pm
    Manhattan, New York City, USA (more details coming soon...)

    Audience

    »Finance professionals with quantitative background:

    • -Portfolio managers/risk managers will learn the latest developements 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

    Instructor

    Attilio Meucci, PhD, CFA. Chief risk officer at Kepos Capital LP. 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.

    Contact

    For more information, please contact us!
    View photos and more from the ARPM Bootcamp 2011 here