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Modelo de la regulación de las AFP en Colombia y su impacto en el portafolio de los fondos de pensiones

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  • Diego Jara

Abstract

Es natural pensar que el futuro pensionado prefiere que su ahorro sea invertido eficientemente; es decir, sin tomar riesgos que no generen retornos adicionales; sin embargo, no es claro que las AFP estén incentivadas para invertir en portafolios eficientes. En el caso colombiano, elementoscomo la estructura de comisiones y la rentabilidad mínima, dadas en la regulación, pueden desalinear las preferencias del principal y el agente. En este trabajo se presenta unmodelo donde las AFP son agentes que maximizan su utilidad esperada, y se demuestra numéricamente que la regulación, y en particular la rentabilidad mínima, causan que las AFP prefieran invertir en portafolios ineficientes; entonces, es posible que esta regulación no proteja óptimamente los ahorros de los afiliados al sistema de pensiones obligatorias.

Suggested Citation

  • Diego Jara, 2006. "Modelo de la regulación de las AFP en Colombia y su impacto en el portafolio de los fondos de pensiones," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 24(52), pages 162-221, December.
    • Handle: RePEc:col:000107:004268
    DOI: 10.32468/Espe.5204
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    References listed on IDEAS

    as
    1. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds'structure, performance, and investments : cross-country evidence," Social Protection Discussion Papers and Notes 23302, The World Bank.
    2. Shah, Hemant, 1997. "Toward better regulation of private pension funds," Policy Research Working Paper Series 1791, The World Bank.
    3. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1465-1497.
    4. Diego Jara & Carolina Gómez & Andrés Pardo, 2005. "Análisis de eficiencia de los portafolio pensionales obligatorios en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 23(49), pages 192-239, December.
    5. repec:bdr:ensayo:v::y:2005:i:49:p:192-239 is not listed on IDEAS
    6. Ulpiano Ayala & Olga Lucía Acosta, 2002. "Políticas para promover una ampliación de la cobertura del sistema de pensiones en Colombia," Documentos de Investigación 3352, Cepal Naciones Unidas.
    7. Luis Eduardo Arango & Luis Fernando Melo, 2006. "Determinantes De La Elección De Administradora De Pensiones: Primeras Estimaciones A Partir De Agregados," Borradores de Economia 2315, Banco de la Republica.
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    Cited by:

    1. Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 78-113, June.
    2. Musalem, Alberto R. & Pasquini, Ricardo, 2012. "Private pension systems : cross-country investment performance," Social Protection Discussion Papers and Notes 68937, The World Bank.
    3. Carlos León & Juan Mario Laserna, 2008. "Asignación Estratégica de Activos para Fondos de Pensiones Obligatorias en Colombia: Un Enfoque Alternativo," Borradores de Economia 4970, Banco de la Republica.
    4. Carlos Leon & Juan Mario Laserna, 2008. "Asignación Estratégica de Activos para Fondos de Pensiones Obligatorias en Colombia: Un Enfoque Alternativo," Borradores de Economia 523, Banco de la Republica de Colombia.

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    More about this item

    Keywords

    Portafolio eficiente; función de utilidad; regulación de las AFP.;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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