Seminars & Workshops on Strategic Asset Allocation
- SAA theory with demos
- SAA study
The philosophy of both components is: Together, step by step towards the target portfolio. Our workshop format combines theoretical fundamentals with practical application. Thus, the topics of Strategic Asset Allocation are jointly developed to ensure substantial and sustainable knowledge transfer and to develop robust capital investment strategies step by step.
Seminars & Workshops on Strategic Asset Allocation
The SAA Forum provides in-depth knowledge about strategic asset allocation, risk management, and portfolio optimization. Our seminars and workshops combine scientific methods with practical application and support institutional investors in developing robust capital investment strategies.
SAA Theory with Demos
In this part of the workshop, both modern portfolio theory and the SAA Forum approach are presented. This platform places a special emphasis on live demos to bring the abstract financial mathematical aspects of Strategic Asset Allocation closer and to discuss them in depth.
Examples of topics:
- Origin and history of the SAA
- Portfolio Simulator
- SAA as a tool for corporate control
- Empirical capital market analysis
- Stochastic Capital Market Analysis
- Modern portfolio theory
- Risk modeling
- Credit risk modeling with copulas
- Optimization algorithms
- Genetic portfolio optimization
- SAA and macroeconomics
- SAA as a scenario method
- SAA and sustainability (ESG)
- Illustration of Alternative Investments
- Replication Portfolio Approach
- Liability-driven investment
- Risk budget: HGB versus Solvency II
- Risk On / Risk Off Approach
- SAA as a benchmarking tool
- Black-Litterman model
- Meucci Entropy Pooling Model
- Logit models for market regimes
- Robust regression models
SAA study
In this workshop component, a practical case study will be developed. The participants will be actively involved in the calibration of the SAA parameters as well as in the discussion and interpretation of the results. In this way, the theoretical foundations will be directly transferred into practice and different approaches to portfolio selection will be evaluated together.
Typical sequence:
- Determination of the SAA targets
- Determination of the investment restrictions
- Determination of the capital market parameters
- Analysis of Liabilities
- Analysis of the capital investment portfolio
- Analysis of capital market data
- Determination of the SAA parameters
- Calibration of the capital market scenarios
- Performing the SAA analysis
- Analysis of the first SAA results
- Portfolio selection
- Sensitivity analyses