Does Risk Aversion Matter for Foreign Asset Holdings of Pension Funds – The Case of Poland

Radosław Kurach; Daniel Papla

doi:10.2478/cer-2014-0018

Autor

Radosław Kurach Wrocław University of Economics, Faculty of Economic Sciences, Department of Mathematical Economics
Daniel Papla Wrocław University of Economics, Faculty of Management, Computer Science and Finance, Department of Financial Investments and Risk Management

DOI:

https://doi.org/10.2478/cer-2014-0018

Słowa kluczowe:

fundusze emerytalne, ryzyko walutowe, portfele międzynarodowe

Abstrakt

W artykule podjęto zagadnienie inwestycji w aktywa zagraniczne dokonywanych przez fundusze emerytalne. W części pierwszej opracowania dokonano przeglądu polityk nadzorczych oraz wskazano efekty zewnętrzne inwestycji zagranicznych, które mogą odpowiadać za obserwowane różnice w regulacjach pomiędzy krajami Europy Środkowo-Wschodniej. Następnie wykorzystując teorię portfela przeprowadzono symulacje mające na celu oszacowanie korzyści dywersyfikacyjnych, jakie mogłyby zostać osiągnięte poprzez wyższy udziałaktywów zagranicznych. Stosując specyficzne ograniczenia oraz biorąc pod uwagę zmienność kursu walutowego, zaprezentowane badanie oddaje perspektywę członka polskiego funduszu emerytalnego. Z drugiej strony, wnioski dotyczące stopnia awersji do ryzyka oraz wskazane kierunki dla dalszych badań powinny mieć charakter uniwersalny.

Pobrania

Brak dostępnych danych do wyświetlenia.

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