The Eighth Public Investors Conference 2022 | The World Bank | 27 October 2022 | Headquarters of the Bank of Canada, 234 Wellington Street in Ottawa

The last several years have challenged public investors in unprecedented ways. Prolonging the earlier environment of low interest rates and compressed term premia, the Covid-19 outbreak has challenged the outlook for asset prices, while highlighting the need to ensure adequate liquidity of investment portfolios. The sharp, but uneven, subsequent recovery has compounded the challenge, as extraordinary monetary and fiscal policy measures have interacted with a waxing and waning pandemic. More recently, the debate over the extent to which inflationary pressures will prove transient has forced yet another reassessment of investment decisions, tied in with questions about the timing and extent of the ongoing process of policy normalisation. Meanwhile, a growing sense of urgency around climate-related risks has led investors of all types to redouble their efforts to incorporate sustainability considerations into their investment processes are giving rise to additional trade-offs in asset allocation decisions.

In this context, the Eighth Public Investors Conference will explore a range of relevant issues, with emphasis on the following:

• New methodologies for risk-return modelling that incorporate the risks of the current environment:
Financial models may be biased by the post-Great Financial Crisis environment and may be inappropriate for the "new normal". How can the risk of higher interest rates and smaller central bank balance sheets best be incorporated into risk and return models? What are the appropriate models and risk factors to account for the shifting behaviour of asset returns under different economic regimes? Are there additional factors to be incorporated, such as those relating to fiscal or health policies, or the regulatory environment?

• Integration of environmental, social and governance (ESG) considerations into the investment process:
How can the impact of sustainability considerations into the expected returns and risks of an asset best be assessed? How can risk management – at the enterprise and portfolio levels – be enhanced to incorporate ESG factors? How can asset allocation models be affected by ESG considerations, going beyond the classical wealth maximisation framework? How should the data quality and heterogeneity issues concerning ESG factors be handled?

• Robust asset allocation and asset-liability models for public investors:
How can portfolio construction and risk management models incorporate shifts in economic or financial regimes, as reflected through increasing interest rates or higher inflation? How can public investors, including central banks, incorporate prospective liability considerations into strategic asset allocation? How may discount rate models address the lower interest rate environment and the uncertainty surrounding the future path of interest rates? What steps have public pension plans and sovereign wealth funds taken to address ongoing demographic trends?

• Emerging technologies and their application to portfolio construction as well as investment and risk management:
How can new technologies, such as artificial intelligence, including machine learning, be applied to portfolio construction, risk management and other areas of relevance to public investors?

2022 Speakers

Toni Gravelle
Deputy Governor, Bank of Canada

Lebogang Mateane
University of Cape Town, School of Economics, South Africa

Carmen Herrero
The World Bank

Daniela Klingebiel
The World Bank

Marco Ruiz
The World Bank

James Seward
The World Bank

Melvin M. Khomo
Central Bank of Eswatini

Juliusz Jabłecki
Narodowy Bank Polski

Marie Briere
Amundi Asset Management

Stefano Ramelli
University of Zurich

David Bolder
The World Bank

Ivan Faiella
Banca d'Italia

Enrico Bernardini
Banca d'Italia

Johnny Di Giampaolo
Banca d'Italia

Marco Fruzzetti
Banca d'Italia

Simone Letta
Banca d'Italia

Davide Nasti
Banca d'Italia

Raffaele Loffredo
Banca d'Italia

Dora Xia
Bank for International Settlements

Omar Zulaica
Bank for International Settlements

Eric Bouyé
Carmen Herrero, Daniel Vela, The World Bank

Ron Dembo
Chief Executive Officer, riskthinking.AI

Mike McMorrow
Bank for International Settlements

Karishma Kaul
Katharina Schwaiger, Muling Si, Andrew Ang, BlackRock

Söhnke M. Bartram
University of Warwick and CEPR

Anthony Garratt
University of Warwick

Leslie Djuranovik
Bank Indonesia

David P. Kroon
Ortec Finance

Hens Steehouwer
Ortec Finance

Maurits van Joolingen
Ortec Finance

Marc K. Francke
Ortec Finance

Mercedes de Luis
Banco de España

Emilio Rodríguez
Banco de España

Diego Torres
Banco de España

Ashwin Alankar
Janus Henderson Investors

Philip Maymin
Janus Henderson Investors

Myron Scholes
Janus Henderson Investors

Thomas Brophy
Central Bank of Ireland

David Doran
Central Bank of Ireland

Steve Kilkenny
Central Bank of Ireland

Jae Yong Choi
Bank of Korea

Junesuh Yi
Dongguk University Korea

Sun-Joong Yoon
Dongguk University Korea

Marco Fruzzetti
Banca d'Italia

Davide Nasti
Banca d'Italia

Marco Orlandi
Banca d'Italia