Topics in Portfolio Construction

This chapter meeting has passed.

Overview

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.

Details

November 30, 2022
6:00 PM - 9:00 PM

In-Person

Budapest, Váci út 47e, H-113,

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)

András Wallner

András Wallner is the Team Lead for Budapest Product Strategy across Fundamental Fixed Income, Fundamental Equities, Multi-Asset Strategies & Solutions, and Systems. Prior to joining BlackRock in 2017, András worked at Morgan Stanley in Structured Rates, supervising the valuation and managing the valuation risk of global interest rate exotic portfolios in N.A., EMEA, and non-Japan Asia. András holds a bachelor's degree in Applied Economics and a master's degree in Economic Analysis from Budapest Corvinus University, both with honors. Andras is a CFA® and FRM® charter holder.

Zombor Erdélyi

Zombor Erdélyi graduated from the Budapest Corvinus University as a Quantitative Economic Analyst, and in 2010 joined a multinational proprietary trading firm as a day trader. In 2014, after a short detour at OTP Bank as a controlling analyst, he joined FHB Bank and became the leader of the Treasury Mid-Office. He worked in the same position at Takarékbank during the merger of the two banks. Later he became the head of Market, Liquidity and Counterparty Risk at Takarék Group.

Currently he is working as head of Risk and Controlling at Diófa Asset Management, overseeing all types of potential risks of managed portfolios holding real estate, private equity, fixed income, equity, FX, and derivative exposures.

Péter Oszlay

Peter Oszlay has over 20 years of experience in capital markets and investment management. Since 2017 he has led the investment division of Erste Asset Management in Hungary overseeing the management of investment funds and other institutional portfolios in multiple asset classes. Previously he was responsible for investment fund sales, DPM product management, fund market intelligence, and product development as a member of the sales team. Between 2007 and 2012 Peter managed global multi-asset portfolios for private clients at BNP Paribas Wealth Management’s Hungary branch. Earlier in his career Peter managed fixed income funds and pension funds at the asset management arm of a leading Italian financial group and also gained treasury and investment banking experience with a large global commercial bank. Peter graduated from the Budapest University of Economics in 1996 and earned the Chartered Financial Analyst (CFA®) designation in 2008.

Norbert Pálmai

Norbert Palmai is a member of the Portfolio Research Group within the BlackRock Investment Institute (BII). The team is responsible for developing and curating the core principles and intellectual property that underpin BlackRock's approach to portfolio design, such as capital market assumptions and optimization. His focus within the team is on portfolio optimization and developing long-term fixed income views. Prior to joining BlackRock in September 2020, Norbert worked at Morgan Stanley as a model risk manager. He earned a BSc in Economic Analysis and an MSc in Finance & Investments from Corvinus University of Budapest. Norbert is a GARP-Certified Financial Risk Manager (FRM®).

Chapter Meeting

Budapest, Hungary