Estimating the Gains from International Diversification
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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| Format: | Working Paper biblioteca |
| Language: | English |
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World Bank, Washington, DC
2021-04
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| Subjects: | PORTFOLIO DIVERSIFICATION, FOREIGN ASSET, PENSION FUNDS, |
| Online Access: | http://documents.worldbank.org/curated/en/199811618928307743/Estimating-the-Gains-from-International-Diversification-The-Case-of-Pension-Funds https://hdl.handle.net/10986/35482 |
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dig-okr-10986354822024-08-09T06:06:08Z Estimating the Gains from International Diversification The Case of Pension Funds Afanador, Juan Pablo Davis, Richard Pedraza, Alvaro PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS 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. 2021-04-22T14:40:26Z 2021-04-22T14:40:26Z 2021-04 Working Paper Document de travail Documento de trabajo http://documents.worldbank.org/curated/en/199811618928307743/Estimating-the-Gains-from-International-Diversification-The-Case-of-Pension-Funds https://hdl.handle.net/10986/35482 English Policy Research Working Paper;No. 9635 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank application/pdf text/plain World Bank, Washington, DC |
| institution |
Banco Mundial |
| collection |
DSpace |
| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
English |
| topic |
PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS |
| spellingShingle |
PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS Afanador, Juan Pablo Davis, Richard Pedraza, Alvaro Estimating the Gains from International Diversification |
| description |
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. |
| format |
Working Paper |
| topic_facet |
PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS |
| author |
Afanador, Juan Pablo Davis, Richard Pedraza, Alvaro |
| author_facet |
Afanador, Juan Pablo Davis, Richard Pedraza, Alvaro |
| author_sort |
Afanador, Juan Pablo |
| title |
Estimating the Gains from International Diversification |
| title_short |
Estimating the Gains from International Diversification |
| title_full |
Estimating the Gains from International Diversification |
| title_fullStr |
Estimating the Gains from International Diversification |
| title_full_unstemmed |
Estimating the Gains from International Diversification |
| title_sort |
estimating the gains from international diversification |
| publisher |
World Bank, Washington, DC |
| publishDate |
2021-04 |
| url |
http://documents.worldbank.org/curated/en/199811618928307743/Estimating-the-Gains-from-International-Diversification-The-Case-of-Pension-Funds https://hdl.handle.net/10986/35482 |
| work_keys_str_mv |
AT afanadorjuanpablo estimatingthegainsfrominternationaldiversification AT davisrichard estimatingthegainsfrominternationaldiversification AT pedrazaalvaro estimatingthegainsfrominternationaldiversification AT afanadorjuanpablo thecaseofpensionfunds AT davisrichard thecaseofpensionfunds AT pedrazaalvaro thecaseofpensionfunds |
| _version_ |
1807154618698825728 |