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G1003G

IBM Algorithmics Portfolio Optimization with Algo Risk Application

Prezzo

€ 550.00
(Iva esclusa)

Scheda tecnica

Scarica

Giorni

1 gg

This extension of the standard ARA course provides specialized hands-on training in the use and application of the software’s portfolio optimization functionality.

The objectives and course content include:

  • The applications and “building blocks” of portfolio optimization
  • How to create and manage portfolio optimization problems in ARA
  • How to define and build objective functions
  • How to set and populate the universe of tradeable instruments
  • Setting limits and trading cost assumptions on individual securities
  • Global constraints applied at the whole portfolio and/or group level
  • Multi-Objective optimization, and the use of use of normalization and scaling.
  • The use of trade budgets and penalties in portfolio optimization
Objectives:

Please refer to Course Overview

This target audience is the ARA end-user, particularly risk managers/analysts, portfolio managers, traders, and other investment professionals.

You should have:

  • Prior training and/or experience in the standard ARA application is presumed.
  • Basic understanding of the concept and applications of portfolio optimization.
  • Training in portfolio optimization also requires the ARA optimization module, with corresponding CPLEX licensing

This one-day course is delivered through a number of mediums, including product demonstrations, instructor-led exercises and self-paced hands-on practice.

  • Overview of Optimization in ARA
  • Steps to Opimization in ARA
  • Creating an Optimization Problem in ARA
    • Objective Function
    • Trade List and Limits Table
    • Global Constraints
  • Optimization Problem Processing and Results
  • Optimization Problem Management
  • Use of Trade Restrictions in Optimization
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