Portfolio Construction Using Modern Portfolio Theory (MPT) Training Course

Introduction

In today's complex financial markets, the ability to construct well-diversified and efficient portfolios is a critical skill for investment professionals. This intensive 5-day training course provides a deep dive into Modern Portfolio Theory (MPT), a foundational framework for understanding and optimizing investment portfolios. Participants will learn the theoretical underpinnings of MPT and gain practical skills in applying its principles to real-world scenarios, aiming to maximize returns for a given level of risk or minimize risk for a target return.

This comprehensive program will equip you with the quantitative tools and strategic insights necessary to build robust portfolios that align with investor objectives and risk tolerances. From understanding diversification benefits and correlation analysis to constructing efficient frontiers and optimizing asset allocation, you will master the art and science of MPT. Elevate your portfolio management expertise and confidently navigate market volatility by leveraging the time-tested principles of Modern Portfolio Theory.

Duration: 5 Days

Target Audience:

  • Investment Analysts
  • Portfolio Managers
  • Financial Advisors
  • Wealth Managers
  • Risk Managers
  • Individuals seeking to deepen their understanding of portfolio management
  • Students of finance and economics

Objectives:

  • Understand the core concepts and assumptions of Modern Portfolio Theory.
  • Learn to quantify risk and return for individual assets and portfolios.
  • Master the calculation and interpretation of covariance and correlation.
  • Develop skills in constructing efficient frontiers and identifying optimal portfolios.
  • Apply diversification strategies to enhance portfolio performance.
  • Understand the Capital Asset Pricing Model (CAPM) and its implications.
  • Explore practical applications of MPT in real-world portfolio construction.

Course Modules:

Module 1: Introduction to Modern Portfolio Theory (MPT)

  • Overview of traditional portfolio construction approaches
  • The paradigm shift introduced by MPT (Harry Markowitz's contributions)
  • Key assumptions and limitations of MPT
  • The concept of risk-return trade-off
  • Why diversification is essential in portfolio management

Module 2: Measuring Risk and Return

  • Defining historical return calculations: arithmetic vs. geometric
  • Quantifying risk: standard deviation and variance
  • Understanding expected return for a portfolio
  • Introduction to probability distributions for asset returns
  • The concept of risk aversion and utility functions

Module 3: Portfolio Diversification and Correlation

  • The power of diversification: reducing unsystematic risk
  • Understanding correlation and covariance between assets
  • Calculating portfolio variance and standard deviation for two or more assets
  • The impact of correlation on portfolio risk reduction
  • Practical examples of diversification benefits across different asset classes

Module 4: The Efficient Frontier

  • Constructing a set of feasible portfolios
  • Identifying the minimum variance portfolio
  • Understanding the concept of the efficient frontier
  • Visualizing the efficient frontier and investor indifference curves
  • How to choose an optimal portfolio on the efficient frontier

Module 5: The Capital Asset Pricing Model (CAPM)

  • Introduction to systematic and unsystematic risk
  • The concept of Beta as a measure of systematic risk
  • The Security Market Line (SML) and its interpretation
  • Calculating expected returns using CAPM
  • Applications and limitations of CAPM in portfolio management

Module 6: Beyond Mean-Variance Optimization

  • Limitations of traditional mean-variance optimization
  • Introduction to alternative risk measures: VaR and CVaR
  • Factor models for explaining asset returns
  • Multi-objective optimization in portfolio construction
  • Incorporating investor preferences and constraints

Module 7: Practical Portfolio Construction Techniques

  • Data requirements for MPT implementation
  • Using historical data to estimate inputs for MPT
  • Practical considerations for asset allocation decisions
  • Rebalancing strategies for maintaining optimal portfolio weights
  • Software tools and resources for MPT analysis

Module 8: Real-World Applications and Criticisms of MPT

  • Case studies of MPT in practice for various investor types
  • Behavioral finance challenges to MPT assumptions
  • The impact of market anomalies on MPT
  • Recent developments and extensions of MPT
  • Future trends in quantitative portfolio construction

 

CERTIFICATION

  • Upon successful completion of this training, participants will be issued with Macskills Training and Development Institute Certificate

TRAINING VENUE

  • Training will be held at Macskills Training Centre. We also tailor make the training upon request at different locations across the world.

AIRPORT PICK UP AND ACCOMMODATION

  • Airport pick up and accommodation is arranged upon request

TERMS OF PAYMENT

Payment should be made to Macskills Development Institute bank account before the start of the training and receipts sent to info@macskillsdevelopment.com

Portfolio Construction Using Modern Portfolio Theory (mpt) Training Course in Burundi
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