The Seventh Public Investors Conference: Agenda

For details on speakers and venues please head to the landing page for registrants.

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
Marco Fanari and Gerardo Palazzo, Banca D'Italia

11:30 a.m.

Risk Parity Strategic Asset Allocation at a Central Bank
Jonas Kanapeckas, Bank of Lithuania

12:00 p.m.

A Benchmark-Free Approach to Capital Preservation
Benjamin D. Whitcher, The World Bank 


Session 2: Reserve Management Frameworks

02:00 p.m.

Are Central Banks too Risk Averse? 
Massimiliano Castelli, UBS Asset Management 
Stefan Gerlach, EFG International 

02:30 p.m.

Central Bank Reserve Management based on Numeraire, Size and Dividend Policy 
Matti Ilmanen, Bank of Finland

03:00 p.m.

Sovereign Investors and Governance Policies
Ruth V. Aguilera, D'Amore-McKim School of Business & ESADE Business School 
Vicente J. Bermejo, ESADE Business School
Javier Capapé, IE Business School
Vicente Cuñat, The London School of Economics


Session 3: Sustainability Considerations for Official Institutions

04:00 p.m.

ESG Investing: Strategies for Implementing Sustainable Investing by Institutional Investors
Ulrike Elsenhuber and Adela Skenderasi, Bank for International Settlements 

04:30 p.m.

ESG investments: Filtering versus Machine Learning Approaches (TBC)
Carmine de Franco and Bruno Monnier, Ossiam 
Christophe Geissler and Vincent Margot, Advestis 

05:00 p.m.

BlackRock vs Norway Fund at Shareholder Meetings: Institutional Investors' Votes on Corporate Externalities
Marie Brière, Amundi Asset Management
Sébastien Pouget, Toulouse School of Economics 
Loredana Ureche-Rangau, University of Picardie Jules Verne

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
Martin van der Schans, Ortec Finance

10:30 a.m.

Strategic Asset Allocation from Theory to Practice: New Decision-Support Tools
Golan Benita and David Hoffman, Bank of Israel

11:00 a.m.

Portfolio Optimization Problems with Hard-to-optimize Objective Functions
Martin Vesely, Czech National Bank


Session 5: Market Inefficiencies & Risk Premia

12:00 p.m.

Global Market Inefficiencies
Söhnke M. Bartram, University of Warwick 
Mark Grinblatt, University of California, Los Angeles

12:30 p.m.

Time-Varying Risk Premia in Large International Equity Markets 
Ines Chaieb, University of Geneva and Swiss Finance Institute
Hugues Langlois, HEC Paris
Olivier Scaillet, University of Geneva and Swiss Finance Institute

01:00 p.m.

The Contribution of Frictions to Expected Returns
Kazuhiro Hiraki, Queen Mary University of London
George Skiadopoulos, Queen Mary University of London and University of Piraeus


Session 6: Risk Management

02:30 p.m.

Enterprise Risk Management Frameworks in Central Banks: Decision and Control
Paulo Cacella, Banco Central do Brasil

03:00 p.m.

An Alternative Approach to Measuring Liquidity Risk of Public Investors' Investment Assets
David Doran, Steve Kilkenny, Šarūnas Ramanauskas, and Alex Shablov, Central Bank of
Ireland

03:30 p.m.

Insight from Academia: Lessons on Model Risk
David Jamieson Bolder, The World Bank

04:00 p.m.

Closing remarks