Jointly organised by CFA Institute and EDHEC-Risk Institute, the Advances in Equity Portfolio Construction Seminar aims to provide investment practitioners with the tools to better understand the limits and benefits of different portfolio construction approaches, and to discuss alternative index strategies.
This exclusive event is presented in a highly accessible manner by instructors who combine academic expertise and industry experience. It strikes a balance between exploration of new models and a study of applications.
Felix Goltz, Head of Applied Research, EDHEC-Risk Institute
Raman Uppal, Professor of Finance, EDHEC Business School
Key Learning Benefits:
The seminar will enable participants to:
• Understand the limits of various portfolio construction tools; find out about the dangers of naively optimised portfolios and the benefits of robust optimisation.
• Review the state of the art in estimating risk parameters; discover how to achieve robustness of risk parameter estimates, and how to capture the dynamics of risk parameters.
• Review the challenges in estimating expected return parameters and learn about new approaches for estimating expected returns using parametric portfolios, risk-based estimation, and estimates implied from option prices.
• Study the limits of traditional equity indices; find out about the minimum-variance benchmark, equally-weighted benchmark, fundamentals-based weighting schemes and other new forms of indices; discover the objectives and assumptions underlying alternative indices and learn about model selection and hidden risks entailed in the choice of a particular benchmark.
• Discover how the different steps in alternative equity index construction methodologies contribute to investment outcomes. Understand alternative construction approaches for defensive equity strategies and fundamentals-based equity strategies.
• Investigate relative risk concerns when deviating from market-cap weights and explore approaches to manage model risk and peer-group risk.
Standard rate: EUR2,700
Early bird rate available before January 13
CFA Institute Member rate: EUR2,025
Further Information and Registration:
For further information about the event please visit our webpage : or contact Mélanie Ruiz at EXECeducation@edhec-risk.com  or on: +33 493-187-819
Continuing Education Credits
As a participant in the CFA Institute Approved-Provider Programme, EDHEC-Risk Institute has determined that this programme qualifies for 13 credit hours. If you are a CFA Institute member, continuing education credit for your participation in this programme will be automatically recorded in your CE Diary.