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Estimating the Gains from International Diversification : The Case of Pension Funds / Juan Pablo Afanador.
World Bank Open Knowledge Repository (formerly "World Bank E-Library Publications") Available online
View online- Format:
- Book
- Government document
- Author/Creator:
- Afanador, Juan Pablo.
- Series:
- Policy research working papers.
- World Bank e-Library.
- Language:
- English
- Subjects (All):
- Finance and Financial Sector Development.
- Foreign Asset.
- Mutual Funds.
- Pension Funds.
- Pensions and Retirement Systems.
- Portfolio Diversification.
- Social Funds and Pensions.
- Social Protections and Labor.
- Local Subjects:
- Finance and Financial Sector Development.
- Foreign Asset.
- Mutual Funds.
- Pension Funds.
- Pensions and Retirement Systems.
- Portfolio Diversification.
- Social Funds and Pensions.
- Social Protections and Labor.
- Physical Description:
- 1 online resource (57 pages)
- Other Title:
- Estimating the Gains from International Diversification
- Place of Publication:
- Washington, D.C. : The World Bank, 2021.
- System Details:
- data file
- Summary:
- For pension funds, international assets represent an opportunity to improve their returns while possibly reducing risks. Nonetheless, pension funds in many developing countries face regulations that limit the choice of international investments. This paper proposes a new methodology to estimate the gains from international diversification in which the optimal asset allocation of pension funds is constrained by financial frictions. The empirical strategy is applied to the aggregate holdings of pension funds in a large group of countries to calculate the gains from increasing the current level of exposure to international securities. The methodology should give policy makers the opportunity to identify jurisdictions where pension funds could benefit the most from expanding their foreign holdings.
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