The eligibility of emerging-market bonds for pension fund portfolios

Zaghum Umar; Laura Spierdijk

doi:10.4324/9781315621739-5

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 proceeding › Chapter › Academic › peer-review

12 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 language	English
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
Pages	91-117
Number of pages	27
ISBN (Electronic)	9781315621739
ISBN (Print)	9781138656802
DOIs	https://doi.org/10.4324/9781315621739-5
Publication status	Published - 22 Nov 2017
Externally published	Yes

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The eligibility of emerging-market bonds for pension fund portfolios

Abstract

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