Chapter Meeting

Budapest, Hungary

Topics in Portfolio Construction

November 30, 2022

This chapter meeting has passed.


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.


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


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


Budapest, Váci út 47e, H-113,


Balázs Udvari

Balázs Udvari
Senior Researcher, MSCI

András Wallner

András Wallner
Budapest Product Strategy Team Lead, Director, BlackRock

Zombor Erdélyi

Zombor Erdélyi
Head of Controlling and Risk, Diófa Asset Management

Péter Oszlay

Péter Oszlay
Chief Investment Officer, Erste Asset Management

Norbert Pálmai

Norbert Pálmai
Portfolio Researcher, BlackRock

Chapter Directors

Daniel Homolya
FX Strategy Manager Diageo

Peter Sziklai
Executive Director Morgan Stanley

Committee Members

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)

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