No AccessPolicy Research Working Papers25 May 2021Estimating the Gains from International Diversification: The Case of Pension FundsAuthors/Editors: Juan Pablo Afanador, Richard Davis, Alvaro PedrazaJuan Pablo Afanador, Richard Davis, Alvaro Pedrazahttps://doi.org/10.1596/1813-9450-9635SectionsAboutView ChaptersPDF (1.7 MB) ToolsAdd to favoritesDownload CitationsTrack Citations ShareFacebookTwitterLinked In Abstract: 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. Previous bookNext book FiguresreferencesRecommendeddetails View Published: April 2021 Copyright & Permissions KeywordsPORTFOLIO DIVERSIFICATIONFOREIGN ASSETPENSION FUNDS PDF DownloadLoading ...