The Seventh Public Investors Conference
22-23 October, 2018
Rome, Italy
In recent history, the global economy has experienced a broad-based cyclical upturn, with many observers expecting a renormalization of monetary policy across advanced economy central banks in the context of sustained global growth. At the same time, an evolving regulatory environment, potential shifts in the geopolitical landscape, dramatic changes in financial technology, and an awareness of the challenges stemming from less-conventional reserve assets, such as equities and corporate bonds, have added complexity to the investment process for many institutions. As a result, public investors face a confluence of factors that may affect their organizational design, governance, decision-making processes, risk preferences, modelling approaches, and investment strategies.
The Seventh Joint Public Investor Conference aimed to explore ideas on:
- Strategic asset allocation at central banks
- Reserve management frameworks
- Sustainability considerations for official institutions
- Portfolio construction
- Market inefficiencies and risk premia
- Risk management
The conference proceedings were published by the BIS.
Agenda
Monday, 22 October
08:45 a.m. | Registration |
09:30 a.m. | Welcoming remarks |
10:00 a.m. | Opening remarks |
10:20 a.m. | Overview |
Session 1: Strategic Asset Allocation for Central Banks
11:00 a.m. | The Strategic Asset Allocation of the Investment Portfolio in a Central Bank |
11:30 a.m. | Risk Parity Strategic Asset Allocation at a Central Bank |
12:00 p.m. | A Benchmark-Free Approach to Capital Preservation |
Session 2: Reserve Management Frameworks
02:00 p.m. | Are Central Banks too Risk Averse? |
02:30 p.m. | Central Bank Reserve Management based on Numeraire, Size and Dividend Policy |
03:00 p.m. | Sovereign Investors and Governance Policies |
Session 3: Sustainability Considerations for Official Institutions
04:00 p.m. | ESG Investing: Strategies for Implementing Sustainable Investing by Institutional Investors |
04:30 p.m. | ESG investments: Filtering versus Machine Learning Approaches (TBC) |
05:00 p.m. | BlackRock vs Norway Fund at Shareholder Meetings: Institutional Investors' Votes on Corporate Externalities |
05:30 p.m. | Closing remarks |
Tuesday, 23 October
09:30 a.m. | Keynote address |
Session 4: Portfolio Construction
10:00 a.m. | Robust Near-optimal Portfolio Construction |
10:30 a.m. | Strategic Asset Allocation from Theory to Practice: New Decision-Support Tools |
11:00 a.m. | Portfolio Optimization Problems with Hard-to-optimize Objective Functions |
Session 5: Market Inefficiencies & Risk Premia
12:00 p.m. | Global Market Inefficiencies |
12:30 p.m. | Time-Varying Risk Premia in Large International Equity Markets |
01:00 p.m. | The Contribution of Frictions to Expected Returns |
Session 6: Risk Management
02:30 p.m. | Enterprise Risk Management Frameworks in Central Banks: Decision and Control |
03:00 p.m. | An Alternative Approach to Measuring Liquidity Risk of Public Investors' Investment Assets |
03:30 p.m. | Insight from Academia: Lessons on Model Risk |
04:00 p.m. | Closing remarks |