Portfolio Optimization – Risk premia, factor modelling, private vs public

Course description

This course in portfolio management gives you hands-on tools to successfully optimize portfolios. The course is relevant for employees in the pension sector or asset management industry in general as well as investment advisors.

Course content

– Long-term optimization
– Risk Premia
– Effective Diversification
– Allocation to Private Markets
– Factor Modelling
– Contribution to Risk and Return
– Implied Returns
– Strategic vs Tactical Asset Allocation
– Risk, Returns and Correlations
– Problems with Markowitz
– Alternative solutions
– Benchmarks
– Currency Overlay Management

The course is relevant to

– Portfolio Managers
– Risk Managers
– Fund Managers
– Investors
– Middle Office Employees
– Traders
– Dealers
– Private bankers
– Investment Advisors


A general knowledge of the investment management industry is expected.

Reviews of this course (2)

28 Mar 2023

Portfolio Optimization – Risk premia, factor modelling, private vs public

Meget inspirerende. Hands on og praktisk tilgang med gode diskussioner og inddragelse af deltagerne. God veksling mellem opgaver og undervisning. Underviseren er meget pædagogisk og forklarende.

Mads Jacob Færk

Arbejdernes Landsbank

28 Mar 2023

Portfolio Optimization – Risk premia, factor modelling, private vs public


Kasper Riise



30 May 2024 - 31 May 2024

We are currently planning future dates.

Please contact us for more information.

Instructor on this course

Jørgen Just Andresen

Jørgen Just Andresen

Jørgen Just Andresen is Managing Director of Financial Training Partner A/S, which he co-founded in 2002.

He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.

Jørgen has worked for a number of years as external lecturer at Copenhagen Business School and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planning).

He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing.

He holds an M.Sc. (international finance) and an HD (accounting).

Jørgen teaches Derivatives, Risk Management, Portfolio Management and Fixed Income

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