Dates and Locations

23 & 24 Jun '10

London, UK

London Chamber of Commerce >>

Please visit our Course Diary to see dates and locations for all of our UK and overseas courses.

Course Outline: Portfolio Optimization & Money Management

This two day workshop is designed for traders and investment managers of all asset classes and will provide an in-depth, practical and quantitative understanding of the portfolio optimization and money management techniques developed by Ralph Vince, including his Optimal f and Leverage Portfolio Models.

Each delegate will be equipped with a PC and relevant software in order to follow and investigate the practical and theoretical examples provided during the workshop.

Mathematics of Gambling Theory
Includes an introduction to Mathematical Expectation: when it is appropriate to use and when not to discard a seeming losing approach

Optimal f - the single component case
- The history of geometric growth maximization and of portfolio construction
- Basic geometric relationships of geometric growth maximization in the single-component case
- Scenario Planning and Optimal f

Modern Portfolio Theory
- Basic Concepts
- Construction of the mean-variance, Markowitz-style portfolio ("MPT")
- Introduction to an unconstrained version of MPT to incorporate f
- The geometry of unconstrained MPT portfolios (i.e. CAPM lines, etc.)
- Basic metrics used in traditional models: Alpha, Beta, Jensen Index, Treynor Index, Sharpe Ratio
- Overview of other traditional portfolio models

R as the Quant's Tool
- Introduction to R including basic programming structures and concepts inherent in R
- Using R for technical analysis
- Using R for traditional portfolio modeling

The Leverage Space Portfolio Model ("LSP")
- Conceptual Overview
- Mathematical Construction

Drawdown as a constraint in the LSP Model
- Conceptual Overview
- Mathematical Construction

Custom Software Operation to perform LSP Model with Drawdown Constraint as the risk metric
How to operate the software to discern the geometric optimal portfolio within a given drawdown constraint

Basic Economic Theory
- Relationship to "Mathematical Expectation"
- St Petersburg Paradox
- Utility Theory
- Prospect Theory & Optimal Foraging Theory
- Reconciling with Portfolio Management concepts

Migration Paths -- using LSP to accomplish ends other than growth maximization
- Maximizing the Probability of Profit, as opposed to profit itself
- Maximizing profit within the constraint of a minimum probability of profit
- Using the custom software to accomplish these ends
- Real-time implementation using Excel
- Implementation in R