Registration - GAMS

General course objectives:
This three day course begins with an overall introduction to the practical domain of risk and
portfolio optimization. The focus will be in particular on finding optimal risk/return trade-offs based
on a universe of index based Exchange Traded Funds (ETFs). This is an investment problem
especially suited to be solved by optimization models. The participants will learn about the latest
developments within the field of scenario analysis and risk modelling applied to passive index
based investment problems.
Learning objectives:
Participants who have followed the course will be able to:
Measure and manage return and risk trade-offs in a portfolio of ETFs
Formulate and add practical constraints such as transaction costs and taxes
Measure and manage different risk measures such as standard deviation, Value at Risk,
Conditional Value at Risk and Maximum Drawdown in a portfolio optimization setting
Perform back tests and stress tests on different model-based investment strategies
Formulate the above in GAMS and analyse results in EXCEL
Contents:
Day 1
Introduction to ETFs as an asset class
Comparison with active and passive hedge funds
Data analysis based on some index-ETF return data
Modelling Mean/Variance and Mean/Standard deviation models
Exercise: using GAMS to implement the models applying them to the ETF data and using
GAM/EXCEL writing feature to analyse the results
Day 2
Adding practical constraints such as fixed costs, size constraints and gearing to the model
Scenario generation using bootstrapping and moment-matching methods
Introduction to Value at Risk (VaR), Conditional Value at Risk (CVaR) and Conditional
Maximum Drawdown at Risk (CDaR)
Exercise: using GAMS to implement the VaR and CVaR models and using GAMS/EXCEL
to analyse the results
Day 3
Introduction to back testing and stress testing
Small project: Modelling the CDaR model and comparing in a backtest with VaR and CVaR
Ideas for future reading and independent work
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Prerequisites :
The course is aimed for practitioners in the field of portfolio or risk management or students of a
finance program.
No knowledge of GAMS is required, but to prepare for the course it is recommended to download
the current version of GAMS (http://gams.com/download/) on your laptop computers (windows
machines in order to use the GAMS/EXCEL link as well) and go through the short GAMS tutorial
(http://www.gams.com/dd/docs/gams/Tutorial.pdf).
Participants will also receive course material (lecture notes, slides and the book “Practical Financial
Optimization, Decision Making for Financial Engineers” by Stavros Zenios) at the first day of the
course. Upon request lecture notes and slides will be sent to the participants after registration.
The venue :
The course is held at the Andel’s hotel in Prague (http://www.vi-hotels.com/en/andels-prague/). The
hotel is located near Pragues historical centre with easy access to trams, metro, shopping centres,
fitness, theatre, several good restaurants, parks, the brewery Staropramen …
Registration:
Fax or e-mail the fulfilled and signed registration form (last page of this document) to GAMS
GmbH.
Lecturer: Kourosh Marjani Rasmussen, Email: kmra@dtu.dk
Kourosh has a PhD in Financial Optimization and is an associate professor at the Technical
University of Denmark, where he teaches and conducts research within financial optimization.
Kourosh has combined work in the industry with academia. From 2006-2010 he worked as a
financial engineer with product and system development at Nykredit (the biggest Danish
mortgage bank) and since 2010 he has worked as a consultant to the financial institutions.
As part of his consultancy work he has developed a new advisory system for mortgage backed
loans, an optimization model for life cycle wealth management of private household in
sdfsfsfsfsfds Denmark and worked extensively with scenario generation and asset allocation problems
especially index based strategic investments.
Kourosh has been teaching the course “Optimization in Finance” at the technical university of
Denmark since 2005, and is the founder of the master program “Financial Engineering” at the
same university.
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1. Personal Data
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Registration Form for the Course
“Optimal Model-Based Investments Using GAMS”
Andel’s Hotel Prague 7-9 August 2013
Name ______________________________________________
Company ______________________________________________
Address ______________________________________________
Phone ______________________________________________
Email ______________________________________________
2. Workshop Fee, including course material and meals (cross where fits)
€ 640 Academic participants (early registration) € 800 Academic participants
€ 760 Other participants (early registration) € 950 Other participants
3. Accommodation if needed (Superior double rooms, breakfast, free internet and fitness)
Check in date _____________________ Check out date _____________________
Number of extra person in the room (if children mentions age) _____________________
NB: Rooms are available for a discounted rate of € 85 per night in the period 7 th - 12 th of August 2013.
Surcharge for extra occupancy in one room per night is € 10. Payments are made directly to the hotel.
Terms and Conditions
After the registration form is received by GAMS GmbH, an invoice with payment instructions will be sent to
the participant. Academic participants need to send a letter signed by their university explaining the nature of
their affiliation with the university. The fee should be transferred by the latest by the 2 nd of August 2013. For
early registration, however, participants need to pay by 20 th of June 2013. Payment information is:
Recipient: GAMS GmbH, Account No.: 3533320, Bank Code: 37070024
IBAN: DE87 3707 0024 0353 3320 00, BIC (SWIFT Code): DEUT DEDBKOE
Reason for payment: Course “Optimal Model-Based Investments Using GAMS” Prague 7-9 August 2013
With my signature below I agree to the Terms and Conditions.
_________________________________ ____________________________________
Place, Date Signature
Please send your registration to info@gams.de or fax the form to: +49 2219499171