Upcoming events

    • 14 Aug 2017
    • (EDT)
    • 19 Aug 2017
    • (EDT)
    • Skirball Center, New York University, 566 LaGuardia Place, New York, NY 10012


    IAQF Endorsed Event:

    Advanced Risk & Portfolio Management Bootcamp 

    6-day Intensive Quantitative Course

    August 14-19, 2017

    New York University

    In 6 intense days, the ARPM Bootcamp empowers avid learners with background in engineering, computer science, physics and mathematics to quickly gain the deep technical knowledge necessary to operate across the complex world of quantitative trading, asset management, and risk management.

    Key features:

    • Education: 50 hours of instruction (lectures and practice sessions). Topics include data science and machine learning; classical/Bayesian multivariate statistics and econometrics; financial analytics, market, credit & liquidity risk management; estimation error and model risk; factor modeling, alpha-beta signals, portfolio construction and optimization; algorithmic trading, systematic strategies, portfolio insurance, drawdown control; optimal trade execution; and much more
    • Networking: Gala Dinner, Social Mixer, and other events with industry leaders, renowned academics and the 300+ fellow attendees. Past guests include Almgren, Carr, Derman, Dupire, Gatheral, Lipton, Litterman, Litzenberger, Lo, Madan, Mercurio, Shreve
    • ARPM Lab: continued online access to ARPM’s body of knowledge, with cross-referenced theory, examples, case studies, solved exercises, interactive code, videos, slides. The ARPM Lab® is constantly updated
    • Certifications 40 CFA Institute CE credits; 40 GARP CPD; Academic credit with Partner Universities; (optional) ARPM Certificate®
    • (Optional, free) pre- Bootcamp Conference
    • In operation since 2007, with over 2,000 alumni globally including industry leaders and respected academics
    *All who sign up for the Bootcamp will have a free full Lab access till December 2017

    **Starting July 1, the ARPM research team will be sending to all who sign up the pointers to the Lab theory and exercises until the Bootcamp time

    Program Registration | Video Testimonials

    IAQF Members can register with the discounted Affiliates Rate. Please email for the discount code.

    • 15 Aug 2017
    • 5:45 PM (EDT)
    • NYU Kimmel Center, Room 802, 60 Washington Square South, New York, NY
    65 Years of Portfolio Optimization: Practical Challenges and Current Trends

    A Talk by Petter Kolm

    Tuesday, August 15th

    5:45 PM Registration
    6:00 PM Seminar Begins
    7:30 PM Reception


    The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision-making. In light of the 65 year anniversary of Harry Markowitz’s paper “Portfolio Selection,” we review some of the approaches developed to address the challenges encountered when using portfolio optimization in practice, including the inclusion of transaction costs, portfolio constraints, and the sensitivity to the estimates of expected returns and covariances.

    In addition, we selectively highlight some trends and developments in portfolio optimization such as Bayesian techniques, extensions of the Black-Litterman model, mixing of different sources of alpha, and practical multi-period portfolio optimization.



    Petter Kolm, Director of the Mathematics in Finance Masters Program and Clinical Professor, Courant Institute of Mathematical Sciences, New York University

    Petter Kolm is the Director of the Mathematics in Finance Masters Program and Clinical Associate Professor at the Courant Institute of Mathematical Sciences, New York University and the Principal of the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund.  Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). He holds a Ph.D. in mathematics from Yale, an M.Phil. in applied mathematics from Royal Institute of Technology, and an M.S. in mathematics from ETH Zurich.

    Petter is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Investment Strategies (JOIS), Journal of Portfolio Management (JPM), and the board of directors of the International Association for Quantitative Finance (IAQF). As a consultant and expert witness, he has provided his services in areas such as algorithmic and quantitative trading strategies, econometrics, forecasting models, portfolio construction methodologies incorporating transaction costs, and risk management procedures. Web:   

    Registration Fees:
    Complimentary for IAQF members through this site
    Non-Members: $25.00 by registering through this site

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