Program synopsis

Navigate the day-by-day program for details and downloadable materials.


The Advanced Risk and Portfolio Management Bootcamp® provides 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

ARPM Python® Conference and ARPM MATLAB® Conference: Python® and MATLAB® primers; talks by leading academics and practitioners on cutting edge techniques for risk and portfolio management using either software.

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