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The Asset Allocation of Emerging Market Mutual Funds

The Asset Allocation of Emerging Market Mutual Funds »

Source: The Asset Allocation of Emerging Market Mutual Funds

Volume/Issue: 2001/111

Series: IMF Working Papers

Author(s): Piti Disyatat , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451853476

Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...

Inflation Hedging for Long-Term Investors

Inflation Hedging for Long-Term Investors »

Source: Inflation Hedging for Long-Term Investors

Volume/Issue: 2009/90

Series: IMF Working Papers

Author(s): Shaun Roache , and Alexander Attie

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872378

Keywords: Investments, Portfolio Allocation, Diversification, monetary policy, effects of inflation, real interest rates, monetary policy regime,

Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds...

Pension Reform, Investment Restrictions and Capital Markets

Pension Reform, Investment Restrictions and Capital Markets »

Source: Pension Reform, Investment Restrictions and Capital Markets

Volume/Issue: 2004/4

Series: IMF Policy Discussion Papers

Author(s): Jorge Roldos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2004

ISBN: 9781451973730

Keywords: Capital markets, Capital market development, Investment, Pensions, Pension fund regulation, asset allocation, securities, capital market, securities markets, portfolios,

Pension reform in several emerging market countries has been associated with rapid growth in assets under management and a positive impact on the development of local securities markets. However, limitations on suc...

Habit Formation and Persistence in Individual Asset Portfolio Holdings

Habit Formation and Persistence in Individual Asset Portfolio Holdings »

Source: Habit Formation and Persistence in Individual Asset Portfolio Holdings : The Case of Italy

Volume/Issue: 2006/29

Series: IMF Working Papers

Author(s): Sònia Muñoz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

ISBN: 9781451862898

Keywords: Portfolio Allocations, Incomplete Markets, Habits, Multiperiod Multinomial Probit, bonds, financial assets, correlation, probability, probabilities, Personal Income

This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternat...

The International Diversification Puzzle when Goods Prices Are Sticky

The International Diversification Puzzle when Goods Prices Are Sticky »

Source: The International Diversification Puzzle when Goods Prices Are Sticky : It's Really About Exchange-Rate Hedging, not Equity Portfolios

Volume/Issue: 2009/12

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

ISBN: 9781451871593

Keywords: international risk sharing, international portfolio allocation, exchange rate hedging, equity home bias, exchange rate, hedge, home currency, nominal exchange rate, Equity Home Bias International Risk Sharing,

This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in...

The Asset Allocation of Emerging Market Mutual Funds

The Asset Allocation of Emerging Market Mutual Funds »

Volume/Issue: 2001/111

Series: IMF Working Papers

Author(s): Piti Disyatat , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451853476.001

ISBN: 9781451853476

Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...

Inflation Hedging for Long-Term Investors

Inflation Hedging for Long-Term Investors »

Volume/Issue: 2009/90

Series: IMF Working Papers

Author(s): Shaun Roache , and Alexander Attie

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

DOI: http://dx.doi.org/10.5089/9781451872378.001

ISBN: 9781451872378

Keywords: Investments, Portfolio Allocation, Diversification, monetary policy, effects of inflation, real interest rates, monetary policy regime,

Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds...

Pension Reform, Investment Restrictions and Capital Markets

Pension Reform, Investment Restrictions and Capital Markets »

Volume/Issue: 2004/4

Series: IMF Policy Discussion Papers

Author(s): Jorge Roldos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2004

DOI: http://dx.doi.org/10.5089/9781451973730.003

ISBN: 9781451973730

Keywords: Capital markets, Capital market development, Investment, Pensions, Pension fund regulation, asset allocation, securities, capital market, securities markets, portfolios,

Pension reform in several emerging market countries has been associated with rapid growth in assets under management and a positive impact on the development of local securities markets. However, limitations on suc...

Habit Formation and Persistence in Individual Asset Portfolio Holdings
			: The Case of Italy

Habit Formation and Persistence in Individual Asset Portfolio Holdings : The Case of Italy »

Volume/Issue: 2006/29

Series: IMF Working Papers

Author(s): Sònia Muñoz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

DOI: http://dx.doi.org/10.5089/9781451862898.001

ISBN: 9781451862898

Keywords: Portfolio Allocations, Incomplete Markets, Habits, Multiperiod Multinomial Probit, bonds, financial assets, correlation, probability, probabilities, Personal Income

This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternat...

The International Diversification Puzzle when Goods Prices Are Sticky
			: It's Really About Exchange-Rate Hedging, not Equity Portfolios

The International Diversification Puzzle when Goods Prices Are Sticky : It's Really About Exchange-Rate Hedging, not Equity Portfolios »

Volume/Issue: 2009/12

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

DOI: http://dx.doi.org/10.5089/9781451871593.001

ISBN: 9781451871593

Keywords: international risk sharing, international portfolio allocation, exchange rate hedging, equity home bias, exchange rate, hedge, home currency, nominal exchange rate, Equity Home Bias International Risk Sharing,

This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in...