Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants
AbstractIn recent years, investment portfolio selection is growing in importance for many emerging market pension funds, as pension reforms replace traditional pay-as-you-go systems with advanced funding systems. Various investment regulations are applied to the funded pensions, particularly in the form of portfolio limits for equities and international assets. With a bootstrap simulation approach, this paper attempts to quantify the impacts on retirement benefits of restricting international assets from the investment portfolios of emerging market pension funds. We find that, on average, over half of the pension portfolios of emerging market countries should be in international assets in order to maximize the expected utility of moderate and conservative pension fund participants. More generally, international assets can play a significant role in the investment portfolios for workers with risk aversion varying from aggressive to conservative. With few exceptions, the entire probability distribution of wealth accumulations at retirement could be shifted higher with the inclusion of international assets. Copyright Springer-Verlag 2013
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 9 (2013)
Issue (Month): 3 (August)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=112370
Emerging market pension funds; International diversification; Bootstrapping; Monte Carlo simulations; H55; G11; G23;
Other versions of this item:
- Kumara, Ajantha Sisira & Pfau, Wade Donald, 2011. "Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants," MPRA Paper 31395, University Library of Munich, Germany, revised 10 Jun 2011.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Elizabeth Asiedu & Yi Jin & Anne Villamil, 2006. "Do lack of transparency and enforcement undermine international risk-sharing?," Annals of Finance, Springer, vol. 2(2), pages 123-140, March.
- AfDB AfDB, . "AfDB Group Annual Report 2008," Annual Report, African Development Bank, number 64 edited by Koua Louis Kouakou, 6.
- Pfau, Wade Donald, 2009.
"Emerging Market Pension Funds and International Diversification,"
19039, University Library of Munich, Germany.
- Wade D. Pfau, 2008. "Emerging Market Pension Funds and International Diversification," GRIPS Discussion Papers 08-10, National Graduate Institute for Policy Studies.
- David Robalino, 2005.
"Pensions in the Middle East and North Africa: Time for Change,"
World Bank Publications,
The World Bank, number 7427, October.
- Robalino, David & Whitehouse, Edward & Mataoanu, Anca & Musalem, Alberto & Sherwood, Elisabeth & Sluchynsky, Oleksiy, 2005. "Pensions in the Middle East and North Africa: time for change," MPRA Paper 10448, University Library of Munich, Germany.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
- Jorge A. Chan-Lau, 2004. "Pension Funds and Emerging Markets," IMF Working Papers 04/181, International Monetary Fund.
- Jorge Roldos, 2004. "Pension Reform, Investment Restrictions and Capital Markets," IMF Policy Discussion Papers 04/4, International Monetary Fund.
- Bodie, Zvi & Merton, Robert C., 2002. "International pension swaps," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(01), pages 77-83, March.
- Channarith Meng & Wade Donald Pfau, 2010. "The Role of Pension Funds in Capital Market Development," GRIPS Discussion Papers 10-17, National Graduate Institute for Policy Studies.
- Davis, E. Philip, 2002. "Prudent person rules or quantitative restrictions? The regulation of long-term institutional investors' portfolios," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(02), pages 157-191, July.
- Kariastanto, Bayu, 2011. "Should the Indonesian pension funds invest abroad?," MPRA Paper 33581, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.