The Ninth Public Investors Conference proceedings

Since 2008, the Bank for International Settlements and the World Bank have organised – jointly with cosponsoring central banks – the Public Investors Conference to discuss policy issues, quantitative methods and current challenges for central banks, sovereign wealth funds and public pension plans. This volume covers many of the advances in the practice of public investment management presented at the Conference.

This volume is the third of a series that is edited by staff members of the cosponsoring institutions and is published by the BIS. It is organised into three parts, each covering one major topic discussed over the course of the Ninth Public Investors Conference.

Front Matter

Preface
by E. Bouyé, J. Hyun Joon Lee, J. Teiletche, S. Ng, P. Ferrauto, S. Letta, T. Perez, M. McMorrow, P. van der Meulen, O. Zulaica iii

Part 1. Climate risk

Achieving net zero: Investment frameworks and best practices
by Raul Leote de Carvalho, Jane Ambachtsheer, Alexander Bernhardt, Thibaud Clisson, Henry Morgan, Guillaume Kovarcik and François Soupé 1
Paris-aligned commodities
by Taylor Dufour, He Ren, Andrew Ang, Filip Mena-Berlin, Mateo Gomez and Katharina Schwaiger 27
How you measure transition risk matters: Comparing and evaluating climate transition risk metrics
by Philip Fliegel 43

Part 2. Sustainable finance

Mutual fund trading, greenwashing and ESG clientele
by Rui Albuquerque, Yrjö Koskinen and Raffaele Santioni 69
Is there an equity greenium in the euro area?
by Marianna Caccavaio, Davide Di Zio, Marco Fanari, Simone Letta and Ciriaco Milano 111

Part 3. Portfolio construction and management

Full-scale optimisation: applications for public investors
by Alejandro Barrios Heras, Diana Karolyn Acevedo Becerra, Carlos Antonio Cano Cordova and Mike McMorrow 139
A machine learning ensemble framework to forecast the yield curve
by Marcelo Martin Navarro and Pablo Orazi 157
Regime-based portfolio optimisation: a hidden Markov model approach for fixed income portfolios
by Byran Taljaard 175

Back to previous conference proceedings.