LH.
It is not Malev, because they were not the carrier. They are the handling agent, but it is the principle--not the agent--who is responsible.
LH carried you, LH should have your baggage, LH dropped the ball (suitcase?).
Eastbay 1K: A contract exists with each ticketed carrier down the line. The rule is the ticket is issued on the stock of the first carrier, who is responsible for accounting to the other carriers for the fare construction. However, you have a contract with each carrier who sells you transportation on the face of the ticket. The ticketing carrier is acting as a General Sales Agent for the subsequent carriers in the itinerary.
(NB: On codeshares, your K is with the marketing carrier--not the operating carrier).