The eligibility of emerging-market bonds for pension fund portfolios

Zaghum Umar*, Laura Spierdijk

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapterAcademicpeer-review

7 Citations (Scopus)

Abstract

We study the multi-period asset allocation problem for emerging-market investors whose asset menu consists of stocks, bonds and bills. We consider two types of investors: domestic investors who invest in emerging-market assets only (with returns in local currency) and international investors who invest in both US and emerging-market assets (with returns in US dollars). Our results show that emerging-market bonds with a maturity of one year and longer can provide attractive short-run and long-run investment opportunities to domestic and international investors with different risk preferences.
Original languageEnglish
Title of host publicationPension Fund Economics and Finance
Subtitle of host publicationEfficiency, Investments and Risk-Taking
EditorsJacob A. Bikker
PublisherTaylor & Francis
Pages91-117
Number of pages27
ISBN (Electronic)9781315621739
ISBN (Print)9781138656802
DOIs
Publication statusPublished - 22 Nov 2017
Externally publishedYes

Fingerprint

Dive into the research topics of 'The eligibility of emerging-market bonds for pension fund portfolios'. Together they form a unique fingerprint.

Cite this