Welcome to the Workshops section of Finance with R – besides our online offerings, we offer a set of specialized offline workshops. We aim to offer knowledge that is not available anywhere else, i.e. creating an unique experience with instructors that have both academic and industry background.
We generally organize workshops in London, Frankfurt, Zurich, Paris, Dublin and Vienna. If you are interested in our current schedule, please contact us.
Our Basic Workshops
Stochastic Portfolio Optimization – Foundation [SPO1]
In this workshop we extend the basic concept of Markowitz risk-return portfolio optimization to contemporary stochastic optimization. After reviewing the foundation of scenario-based profit&loss-distribution portfolio optimization, real-world examples incorporating relevant risk measures (Expected Shortfall, Omege ratio, …) as well as one extensive case study with a large asset universe and applying a set of important organizational and regulatory constraints will be discussed in a hands-on approach.
- Markowitz revisited – optimizing risk-return portfolios with R.
- Why moments matter, the case of Black-Litterman, Risk-Parity as well as Factor-based Markowitz.
- From Mean/Covariance to loss-based Stochastic Portfolio Optimization (SPO).
- The basics of Optimization under Uncertainty – (never) mind the expected value.
- SPO with two assets – manual optimization.
- SPO with two assets using all risk measures: VaR, ES, Omega and considering constraints.
- Markowitz in the SPO context.
- Implementing other risk measures in the SPO context: ES & Omega.
- Backtesting stochastic portfolio strategies.
- A case study with a large asset universe and a set of realistic constraints.
Stochastic Portfolio Optimization – Advanced [SPO2]
Based on the Foundation workshop advanced topic will be covered, especially multi-stage stochastic portfolio optimization as well as heuristic approaches towards solving optimization problems involving non-convex risk measures. A case study incorporating trading strategies into portfolio optimization will be presented.
Contemporary Monte Carlo Methods [CMC1]
In this workshop the concept of Monte Carlo methods will be applied to various financial problems, especially option pricing as well as time-series bootstrapping and heuristic portfolio optimization.