Emerging Market Pension Funds and International Diversification
2009/03/03
研討會日期 : 2009-03-03
時間 : 14:30
主講人 : Professor Wade D. Pfau
地點 : C103
演講者簡介 : Professor Wade D. Pfau為Ph.D. in Economics，Princeton University (2003)。目前為Associate Professor，
National Graduate Institute for Policy Studies。其主要研究領域為Public Economics、International Finance、
Monetary Economics。
演講摘要 : As the role of advanced funding for public pension systems increases worldwide, asset allocation decisions are of paramount importance. Standard portfolio selection theory provides a fundamental justification for international diversification, but many emerging market countries have regulations that strictly limit such choices for pension funds. This paper seeks to determine what economic theory suggests is the optimal asset allocation for public pension systems in emerging market countries. We find that on average, about half of the portfolios of emerging market countries should be in world assets. The paper then quantifies the costs of prohibiting international diversification.
