Asset Allocation Workshop

This practical two-day course will examine all aspects of asset allocation, portfolio optimisation and portfolio diversification. Delegates will also explore how to model risk & return, the use of options and other derivatives in asset allocation, and how to build a portfolio capable of handling extreme events. Each delegate will be equipped with a PC, relevant data and Excel.

Duration: Two days (9.00am to 5.00pm)
Location: The Tower Hotel – London E1, UK
Trainer: Malcolm Kemp
Course fee: £1890 + VAT – Register online


Characteristics of Different Asset and Liability Types

+ Equities, bonds (fixed interest, inflation-linked, sovereigns, corporates), real estate, cash, alternatives
+ Different types of liabilities
+ Economic factors influencing cash flows
+ Liquidity and reinvestment risk
+ Asset and liability benchmarks

Asset Allocation Philosophies

+ Valuing different assets and liabilities
+ Different types of valuation
+ What constitutes 'good' value?
+ Strategic versus tactical asset allocation
+ The role of prior beliefs
+ Attitudes to risk: the Pragmatist, the Manager, the Maximiser, the Conservator

Portfolio Optimisation

+ Risk versus return
+ Mean variance optimisation and CAPM
+ Alpha / beta separation
+ Implied alphas
+ Robust optimisation


+ Sourcing assumptions and exploring sensitivities

Portfolio Diversification

+ Its role in decision-making
+ When it might largely disappear
+ Measuring diversification

Modelling Risk and Return

+ Different model types
+ Inherent limits on reliability
+ Identifying diversifying instruments


+ Using marginal risk measures and implied alphas for portfolio optimisation purposes


Including Options and Other Derivatives in Asset Allocation

+ Different types of derivatives including futures, forwards, options, swaps
+ OTC versus exchange traded derivatives
+ Portfolio insurance
+ Structured products
+ Selecting between strategies
+ Triggers and flight paths

Handling Extreme Events

+ Causes of extreme events
+ Impact on the asset allocation problem
+ Tools, techniques and challenges


+ Liability driven asset allocation

Coping with a World that is Constantly Changing

+ Regime switching
+ Impact on the asset allocation problem
+ Transaction costs
+ Investor utility
+ Understanding and profiting from behavioural biases

Handling Extreme Events Effectively

+ Stress testing
+ Reverse stress testing
+ Formulating and combining expert opinions
+ What to do when you don't have an opinion


+ Allocating between managers rather than between asset classes