Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/184316 
Year of Publication: 
2014
Citation: 
[Journal:] Comparative Economic Research. Central and Eastern Europe [ISSN:] 2082-6737 [Volume:] 17 [Issue:] 2 [Publisher:] De Gruyter [Place:] Warsaw [Year:] 2014 [Pages:] 139-153
Publisher: 
De Gruyter, Warsaw
Abstract: 
In this study we explore the issue of foreign assets in mandatory pension funds portfolios. First we provide an overview of the regulatory policies regarding international assets and indicate the externalitieswhich may account for the observed differences among the CEE states. Then, taking the perspective of portfolio theory, we run a simulation study to measure the diversification benefits that may be achieved by greater international asset allocation. By applying the specific constraints and exchange rate volatility to our optimization procedure, the study reflects the perspective of the Polish pensioner. However, the findings regarding risk aversion intensity and the discussed directions of further research should be of a universal character.
Subjects: 
pensions funds
currency risk
international portfolios
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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