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The Seventh Public Investors Conference

October 22-23, 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. 

This year’s conference aims to explore ideas on policy frameworks, asset allocation, portfolio and risk management, and financial technology in the context of a shifting macroeconomic, geopolitical, regulatory, and technological environment.

Update April 2020: The Conference Proceedings is a publication that contains peer-reviewed papers by prominent academics and professionals in the field of Portfolio and Risk Management for central banks, sovereign wealth funds and public pension plans.


The publication can be accessed through the conference website: https://www.publicinvestorsconference.com/proceedings.htm Enquiries about the proceedings or the conference may be directed to: publicinvestorsconference@worldbank.org

  • Monday, 22 October

    08:45 a.m.


    09:30 a.m.

    Welcoming remarks

    10:00 a.m.

    Opening remarks

    10:20 a.m.



    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

    03:30 p.m.

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

    04:00 p.m.

    Closing remarks

  • The Bank for International Settlements, the World Bank, the Bank of Canada and the Banca d’Italia are pleased to announce a call for papers for the Seventh Public Investors Conference on Portfolio and Risk Management for central banks, sovereign wealth funds and public pension plans.  The conference will be held on October 22-23, 2018 at the Headquarters of the Banca d’Italia in Rome, Italy.

    Since 2008, the Bank for International Settlements and the World Bank, in corporation with partner institutions, have organized this bi-annual conference to discuss policy issues, quantitative methods and current challenges for central banks, sovereign wealth funds and public pension plans. The conference aims to promote an exchange of innovative ideas among practitioners and academics, to encourage knowledge sharing and collaboration across organizations, and to foster the development and dissemination of best practices in public sector portfolio and risk management.

     Ideas across these or any other topics relevant to central bank investors, sovereign wealth funds, or public pension plans are welcome, and may be submitted in the form of an abstract with preliminary findings and a supporting outline, or a working paper. Specific areas for exploration may include, though are certainly not limited to, the following:

    • Organization and governance of the investment and/or risk functions
    • Portfolio construction and management, including:
    • Strategic and tactical asset allocation
    • Recent developments in asset-liability management
    • Measuring and managing risk, including market, credit, liquidity, operational and model risk
    • Environmental, social, and governance (ESG) considerations for public investors
    • Impact of financial technologies, such as algorithmic trading, artificial intelligence, and distributed ledger
  • Proposals (in the form of an abstract with preliminary findings and a supporting outline, or a working paper) should be submitted in electronic format by April 30, 2018. All submissions will be reviewed by the conference’s advisory committee, and authors will be informed of the outcome by July 15, 2018

    The selection of proposals will be based upon, among other criteria, their quality and relevance to the conference. Final presentations will then be due by September 14, 2018. Finally, the advisory committee is considering the possibility of publishing selected papers from the conference.

    Enquiries about the conference may be directed to:

    Vahe Sahakyan


    Eric Bouyé


    Antonio Díez de los Ríos


    Roberto Violi


    Your submission should be sent with a short curriculum vitae by e-mail to: