Estimating the Gains from International Diversification : The Case of 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. Th...

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Main Authors:	Afanador, Juan Pablo, Davis, Richard, Pedraza, Alvaro
Format:	Working Paper
Language:	English
Published:	World Bank, Washington, DC 2021
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 http://hdl.handle.net/10986/35482

id	okr-10986-35482
recordtype	oai_dc
spelling	okr-10986-354822022-09-20T00:09:52Z 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 http://documents.worldbank.org/curated/en/199811618928307743/Estimating-the-Gains-from-International-Diversification-The-Case-of-Pension-Funds http://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 World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English
topic	PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS
spellingShingle	PORTFOLIO DIVERSIFICATION FOREIGN ASSET PENSION FUNDS Afanador, Juan Pablo Davis, Richard Pedraza, Alvaro Estimating the Gains from International Diversification : The Case of Pension Funds
relation	Policy Research Working Paper;No. 9635
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
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 : The Case of Pension Funds
title_short	Estimating the Gains from International Diversification : The Case of Pension Funds
title_full	Estimating the Gains from International Diversification : The Case of Pension Funds
title_fullStr	Estimating the Gains from International Diversification : The Case of Pension Funds
title_full_unstemmed	Estimating the Gains from International Diversification : The Case of Pension Funds
title_sort	estimating the gains from international diversification : the case of pension funds
publisher	World Bank, Washington, DC
publishDate	2021
url	http://documents.worldbank.org/curated/en/199811618928307743/Estimating-the-Gains-from-International-Diversification-The-Case-of-Pension-Funds http://hdl.handle.net/10986/35482
_version_	1764483128566480896

Estimating the Gains from International Diversification : The Case of Pension Funds

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