Michael Johannes

January 27 & February 3, 2010

6:30 p.m. - 9:30 p.m

Module Outline

Overview of Portfolio Allocation Problems

Optimal Portfolio Allocation

• Risk and return tradeoffs
• Risk aversion and utility functions
• Multiple asset portfolio problems

Portfolio Problems and the Role of Diversification

Case Study in Optimal Portfolio Allocation God Bad: LTCM

The CAPM, Performance Evaluation, and Risk-Adjustment.

Portfolio Allocation Problems: Allocating Capital Across Assets

1. Forming Portfolios
2. Risk/Return Tradeoffs
3. Optimal Portfolio Allocation: Expected Utility Maximization
4. Effecient Frontiers

 Evaluating and Monitoring Risks

1. The Capital Asset Pricing Model (CAPM): A model of risks and expected returns.  One of a handful of fundmental tools/concepts in finance.
2. Performance Measures and Risk-Adjustments

(Program outline is subject to change)

REGISTRATION

Click here to download the enrollment form.

You may register for this individual module by clicking on Register Online to the left, or you may register for the Complete Course in Professional Risk Management which consists of all eight modules and begins January 13, 2010.  Seating preference will be given to those who register for the complete program.  Sustaining members of PRMIA receive discounted prices.

For assistance with registration, contact Jill Fisher at 612-216-5497 or jill.fisher@prmia.org.

 Invoicing is available by contacting Jill Fisher at 612-216-5497 or jill.fisher@prmia.org.

CANCELLATION

A refund (less a US $100 administration fee) will be made if formal notice of cancellation is received two weeks prior to the date of the event.  We regret that no refunds will be made after that date.  Substitutions may be made at no extra charge.

Michael Johannes

Roger F Murray Associate Professor of Finance

BS, Marquette, 1995; MA, University of Chicago, 2000; PhD, 2000

Professor Johannes research focuses on credit markets, over-the-counter derivatives, equity options, fixed income markets, and time series econometric methods. His current research focuses on the impact of collateralization on over-the-counter derivatives, understanding the risks embedded in long-short equity portfolios, developing pricing models for valuing mortgage securities, and evaluating high frequency trading strategies. Johannes has teaches a variety of Ph.D. courses and is currently teaching the elective Capital Markets and Investments.

(DISCLAIMER:  This program may be changed or cancelled due to unforeseen circumstances).