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


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.

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Loss on „Toxic” Currency Options and Forward Contracts as a Tax-Deductible Expense in Corporate Income Tax – General Issues

Literatura Bennett D., Ryzyko walutowe. Instrumenty i strategie zabezpieczające , Warszawa 2000. Chłopecki A., Instrumenty pochodne w polskim systemie prawnym (rozważania na kanwie „toksycznych opcji”) , „Przegląd Prawa Handlowego” 2009, nr 7. Chudzik M., Opodatkowanie instrumentów pochodnych – zagadnienia ogólne , „Transformacje Prawa Prywatnego” 2003, nr 3. Dmowski A., Opodatkowanie pochodnych instrumentów finansowych podatkiem dochodowym od osób prawnych. Aspekty prawne, podatkowe i bilansowe , Warszawa 2014. Janiak A

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References AN M., QI Z., 2012, Competing Risks Modelsusing Mortgage Duration Data under the Proportional Hazards Assumption, Journal of Real Estate Research, Vol. 34 (1). BANSEG., BECHMANNG., 1998, Interdisziplinare Risikoforschung. Eine Bibliographie, Westdeutschet Verlag, Opladem/Wiesbaden, p. 7. BECK U., 2002, Społeczeństwo ryzyk. W drodze do innej nowoczesności (Risk Society. On the Way to Modernity), Wyd. Scholar, Warszawa. BENNETT D., 2000, Ryzyko walutowe - instrumenty i strategie

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