2022 has been a difficult year for global economies given the war in Ukraine, continued repercussions from COVID-19 responses, a slowdown in China, and soaring inflation and interest rates. Financial markets and asset prices have also faced headwinds this year. Recent events and increased uncertainty for the future raise many questions for asset managers, particularly regarding portfolio construction.
Are traditional portfolio construction techniques still valid in this changing regime? How should we think about portfolio risk? What insights should we take away, and what’s coming next?
Join us to hear three presentations on these topics. Norbert Pálmai will illustrate how robust optimization techniques can be used to build diverse and downside-aware portfolios, Udvari Balázs will talk about the role of expected shortfall in portfolio construction, and Zombor Erdélyi will discuss managing FX risk for real estate funds.
Following these presentations, the speakers will be joined in a panel discussion by investment professionals Péter Oszlay and András Wallner. There will be further questions on the topic of portfolio construction and questions from the audience.
Agenda
6:00 - 6:30 pm CEST: Registration
6:30 – 6:35 pm CEST: Introductions
6:35 – 6:55 pm CEST: Robust Optimization: How to Build Diverse and Downside-Aware Portfolios by Incorporating Parameter Uncertainty in the Objective Function, by Norbert Palmai, BlackRock
6:55 - 7:15 pm CEST: Expected Shortfall in Portfolio Construction, by Udvari Balázs, MSCI
7:15 - 7:35 pm CEST: How FX Risk Materializes in a Real Estate Fund and How That Can Be Managed: How to Handle Increased Liquidity Risk Caused By FX Hedging in a Real Estate Fund, by Zombor Erdélyi, Diófa Asset Management
7:35 - 7:55 pm CEST: Panel Discussion
7:55 - 8:00 pm CEST: FRM, SCR and ERP Certification Ceremony
8:00 - 9:00 pm CEST: Networking Reception
Venue
BlackRock Hungary
Budapest, Váci út 47e, H-1134
Please note: registrations will not be accepted after November 25
Attendees qualify for 1 GARP CPD credit.
November 30, 2022
6:00 PM - 9:00 PM
In-Person
Budapest, Váci út 47e, H-113,
Balázs Udvari
Senior Researcher, MSCI
András Wallner
Budapest Product Strategy Team Lead, Director, BlackRock
Zombor Erdélyi
Head of Controlling and Risk, Diófa Asset Management
Péter Oszlay
Chief Investment Officer, Erste Asset Management
Norbert Pálmai
Portfolio Researcher, BlackRock
Daniel Homolya
FX Strategy Manager Diageo
Peter Sziklai
Executive Director Morgan Stanley
Attila Tomosvary
Stress Testing and Portfolio Risk Executive Director Morgan Stanley
Norbert Palmai
Quantitative Research Vice President BlackRock
Tamas Gombar
Quantitative Analyst Vice President Citi
David Marczis
Senior Risk Manager Magyar Nemzeti Bank (the central bank of Hungary)