Background
The last several years have presented unprecedented challenges for public investors. The detrimental effects of the pandemic and recent geopolitical conflicts have led to new expansionary fiscal policies. In addition, the subsequent sudden surge in inflationary pressures triggered, in some major currency areas, a rapid tightening of monetary policy. Higher real interest rates and the contraction of central banks' balance sheets have added to the cost and quantity of debt. These events may have caused structural changes with an impact on global financial markets that is difficult to assess. Meanwhile, the sense of urgency surrounding climate and nature-related risks has increased, prompting investors to intensify their efforts to integrate the climate risk dimension into their investment processes. Here, public investors have assumed a critical role in favouring the transition toward a sustainable economy Altogether, these developments have introduced additional trade-offs in asset allocation decisions.
Research Paper Topics
It is in this context, that the Ninth Public Investors Conference will be convened from 12 to 13 September 2024, to explore a variety of related issues, with particular emphasis on the following:
New methodologies for risk-return modelling that incorporate financial risks in the current environment
Financial models may be biased by the post-Great Financial Crisis environment and may be inappropriate for a period of persistently higher interest rates. How can the risk of higher rates and shrinking central bank balance sheets be better 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 trajectories of long-term interest rate regimes? Are there additional factors to be incorporated, such as fiscal or health policies, the regulatory environment, geopolitics, or de-globalisation? What steps have public pension plans and sovereign wealth funds taken to address ongoing structural trends such as demographics?
Integration of sustainability considerations into the investment process
Can the impact of sustainability considerations on the expected returns and risks of assets be better assessed? How can risk management be enhanced to incorporate sustainability factors? How can asset allocation models reflect sustainability considerations, going beyond conventional wealth maximization framework? How should data quality and heterogeneity issues concerning such sustainability factors be handled? How do we model nature and biodiversity risks?
Robust asset allocation and asset-liability models for public investors
Can portfolio construction and risk management models more nimbly incorporate shifts in economic or financial regimes, including the possibility of higher structural inflation related to de-globalisation, and transition costs to a more sustainable economy? How can public investors, including central banks, incorporate prospective liability considerations into strategic asset allocation? Do private assets bring benefits to public investors’ strategic asset allocation? How may discount rate models cope with the interest rate environment and the uncertainty surrounding the future path of interest rates?
Artificial intelligence developments and their application to portfolio construction as well as investment and risk management
Can artificial intelligence – including machine learning, deep learning, large language models, and reinforcement learning – be applied to portfolio construction, risk management and other areas of relevance to public investors? How would public investors make sense of the wide range of views on the feasibility and pervasiveness of technological developments more generally for portfolio allocation? Are there implications from other emerging technologies for public investors?
Call for Papers
The Bank for International Settlements, the World Bank, the Monetary Authority of Singapore, and the Banca d'Italia are pleased to announce a call for papers for the Ninth Public Investors Conference on Portfolio and Risk Management for central banks, sovereign wealth funds and public pension plans. The conference will be held on 12-13 September 2024 at the Monetary Authority of Singapore in Singapore.
Since 2008, the Bank for International Settlements and the World Bank, in cooperation with partner institutions, have organized this biennial 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.
Submission procedure
14 April 2024 - Submission of proposals
Proposals (in the form of a working paper – an abstract with preliminary findings and a supporting outline will be considered) should be submitted in electronic format by 14 April 2024 to publicinvestorsconference@worldbank.org , together with a short bio.
4 June 2024 - Submissions Outcome
The conference’s advisory committee will review all submissions, and authors will be informed of the outcome by 4 June 2024.
5 August 2024 - Final Presentation
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 5 August 2024.
12 - 13 September 2024 - The Ninth Public Investors Conference
The conference will be held on 12-13 September 2024 at the Monetary Authority of Singapore in Singapore.
Finally, and as for previous conferences, the advisory committee will consider the possibility of publishing selected papers from the conference in a set of proceedings.
Enquiries
Any questions about the conference may be directed to:
- Omar Zulaica (omar.zulaica@bis.org )
- Eric Bouyé (ebouye@worldbank.org )
- Shem Ng (shem_ng@mas.gov.sg )
- Tommaso Perez (tommaso.perez@bancaditalia.it )