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 | |
| Publication status | Published - 22 Nov 2017 |
| Externally published | Yes |
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