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.
|Title of host publication||Pension Fund Economics and Finance|
|Subtitle of host publication||Efficiency, Investments and Risk-Taking|
|Editors||Jacob A. Bikker|
|Publisher||Taylor & Francis|
|Number of pages||27|
|Publication status||Published - 22 Nov 2017|