Organizational Details

This 3-day workshop was organized jointly by the HERMES European Center of Excellence on Computational Finance and Economics and Algorithmics.

Scientific Content

This three day Workshop was addressed to professionals working in investment houses, banks, insurance firms, and brokerage firms. It presented the state-of-the-art in portfolio and risk management, analyzed insights from past data in the world wide equities markets, discussed the latest techniques for tracking market indices. One full day of the Workshop was devoted to the analysis of the Cyprus stock market using econometric techniques.

Computer software demonstrations were an integral part of the course. Case studies of portfolio management were discussed.

Day 1 (16th May): Principles of Portfolio Management
Speaker: Stavros A. Zenios

Risk aversion and portfolio selection, risk measures for normal, log-normal and fat-tailed distributed assets; Value-at-Risk and Conditional Value-at-Risk: estimation and optimization; using Markowitz mean variance analysis for asset allocation; Sharpe, generalized Sharpe and other measures of portfolio performance; scenario analysis and optimization; index funds: real and synthetic; tracking the market; foreign exchange and credit risk in portfolios.

Case studies of portfolio management.

Day 2 (17th May): Mark-to-Future: The new standard for risk management
Speaker: Algorithmics staff

The scenario approach for measuring risk and reward; introduction to Mark-to-Future; software demonstrations: RiskWatch and HistoRisk; FX, liquidity and credit risk in portfolios; Studies of successful implementations of Mark-to-Future asset and liability models in emerging markets: the case of Mexico.

Day 3 (18th May): Insights from Past Data in Worldwide Markets and the Cyprus Stock Exchange
Speakers: William T. Ziemba and Christis Hassapis

Historical records of alternative investment strategies since 1800; evaluating the relative worth of stocks using interest rates, earnings and inflation; financial market danger signals; market anomalies; anomaly return enhancing strategies; momentum and mean reversion strategies and results. Excess returns in the Cyprus Stock Exchange; the market gravity approach in its general form; forecasts generated for various stocks of the Cyprus Stock Exchange; technical analysis of the Cyprus Stock Exchange.

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Presenters

Professor William T. Ziemba is the Alumni Professor of Financial Modeling and Stochastic Optimization at the University of British Columbia. He is the world’s leading authority on stock market anomalies having published extensively both through scholarly articles and authored or edited books, and he has been a futures and equity trader since 1983 and runs a small hedge fund. His work has been published in several scholarly journals and in practitioners journals such as Financial Analysts Journal, Journal of Portfolio Management and the like. He consulted with institutions such as Morgan Stanley, Frank Russell Company and Gordon Capital.

Professor Stavros A. Zenios is the Director of the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus, and Senior Fellow with the Wharton Financial Institutions Center. He published more than 130 articles in scholarly journals and in practitioners journals such as Financial Analysts Journal, Journal of Fixed Income and his papers have been reproduced by Institutional Investor and Cambridge University Press. He is author of an award winning book. Models developed by his research team have been used by institutions such as METLIFE Insurance, BlackRock Financial Management (USA), Banca della Svizzera Italiana (CH) and others. He is currently a Marie Curie Fellow of the European Commission with Algorithmics Inc. in London, the world’s leading software provider of analytics for risk management.

Dr. Christis Hassapis is an Assistant Professor at the University of Cyprus and Fellow with the HERMES European Center of Excellence in Computational Finance and Economics. His research interests are in the areas of Macroeconomics and International Finance. He has published extensively in scholarly journals such as The Economic Journal, Journal of International Money and Finance, The Quarterly Review of Economics and Finance, and others. He is currently the principal investigator on two projects funded by the Cyprus Development Bank on forecasting the stock prices in the Cyprus and Athens stock exchanges and one of the main investigators on a project to create a Database on the Survey of Consumer Finances funded by the Central Bank.

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