We study the multi-period asset allocation problem for emerging market investors whose asset menu consists of stocks, bonds and bills. We consider two types of emerging market investors: domestic investors (with returns in local currency) and international investors who can invest in US and emerging markets assets (with returns in US dollars). In developed markets, long-term government bonds are often considered attractive investment options for risk-averse investors. Our results show that emerging market bonds with a maturity of one year and longer can be attractive for domestic and international investors with different risk preferences, in both the short run and the long run.