Robert Michaud, New Frontier’s Chief Investment Officer, Chief Technology Officer, co-author of Efficient Asset Management (Harvard 1998, 2nd ed. Oxford 2008), and co-holder of four U.S. patents, whose research has been recently profiled in WatersTechnology magazine, will share his insights and best practices from managing New Frontier’s three multi-asset ETF investment strategies for more than fourteen years. The sessions will address topics ranging from fund selection, risk and return estimation and portfolio optimization and construction, to portfolio monitoring and rebalancing and effective trading. Techniques demonstrated will include: modeling estimation error with Monte Carlo simulation, empirical Bayesian estimation, Bayesian forecasting, and statistical inference applied to mean-variance optimization. The case studies will be presented using New Frontier’s software for creating capital market expectations, portfolio optimization, and rebalancing and trading.
Who Should Attend
Investment professionals interested in state-of-the-art investment technology for asset allocation in practice are encouraged to attend the one-day seminar. The goal is to provide participants with step-by-step illustrations implementing the many unique features of New Frontier’s Asset Allocation System for investment issues as experienced in practice. The tools include research-based statistical procedures for risk-return estimation, the Michaud optimizer, the Michaud-Esch need-to-trade rule, and statistical methods for minimizing trade implementation costs.
This workshop is intended for investment professionals with an interest in asset allocation. Familiarity with asset allocation and Markowitz Mean-Variance optimization will be assumed in the workshop. Also, sophisticated statistical concepts will be discussed, but no formal knowledge of statistics is required. The rigor will approximate that of a CFA or MBA level class.
CFA Society members will receive five CE credits for attending the conference.
Each participant will receive a complimentary copy of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Harvard 1998, 2nd ed. Oxford 2008).
Class size is limited.
Please contact Pauline Hickey with any questions.