(Subject to change)

March 12, 2020

8:45 AM-9:20 AM

Registration and Breakfast

9:20 AM-9:30 AM

Welcome and Opening Remarks

9:30 AM-10:15 AM

Introduction to Michaud Optimization and Michaud-Esch Portfolio Monitoring

10:15 AM-11:15 AM

Modern Innovations in Statistical Methods for Risk-Return Estimation

  • Data acquisition
  • Imputing missing data 
  • Shrinkage procedures for expected return and risk estimates
  • Bayesian procedures for incorporating forecasts
  • Resolving inconsistent risk estimates

11:30 AM-12:45 PM

Portfolio Construction Under Uncertainty

  • The effect of uncertainty on optimization
  • Michaud optimization – the Resampled Efficient Frontier
  • Optimization sensitivity to inputs
  • Understanding the role and impact of constraints 
  • Using post-optimization investability constraints
  • Optimizing for different objectives: benchmark relative, long-short or liability-based objectives

12:45 PM-1:45 PM


1:45 PM-2:30 PM

Portfolio Monitoring and Rebalancing

  • Deficiencies of conventional rebalancing practice
  • Advantages of a statistical test for rebalancing
  • The Michaud-Esch rebalance test
  • Calibrating a rebalance test for expected portfolio drift
  • Calculating confidence bounds on asset weights

2:45 PM-3:30 PM

Cost-Efficient Trading Using Optimization Techniques

  • The turnover-tracking error tradeoff and quadratic programming
  • Minimizing transaction costs
  • Special uses – favoring one asset over others for trading

3:45 PM-5:00 PM

Interactive Case Study with Q&A

5:00 PM-6:00 PM




Boston College Club
100 Federal Street
36th Floor
Boston, MA 02210




March 12, 2020
8:45 AM - 6:00 PM




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