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Efectos del sistema multifondos en el Régimen de Ahorro Individual en Colombia

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  • Carlos Andrés Hernández García

Abstract

RESUMEN:Con el fin de analizar los posibles efectos de una reforma financiera dirigida a flexibilizar la regulación de los Fondos de Pensiones en Colombia, estedocumento evalúa los potenciales efectos de esta reforma sobre el bienestar delos agentes, aplicando el supuesto de individuos con funciones de utilidad conaversión absoluta al riesgo constante (CARA) y la Teoría de Diversificación del Portafolio. Adicionalmente se presenta un ejercicio contrafactual para estimar el valor del activo pensional si los principios de esta legislación hubiesen sido aplicados en el periodo 1980-2009. Los resultados del análisis teórico sugieren que ante un mayor valor acumulado en las cuentas de pensión, los individuos disminuyen su exposición ante el riesgo en sus portafolios. Mientras que el ejercicio contrafactual indica que la mejor decisión para los individuos habría sido invertir todo el portafolio en activos de renta variable.ABSTRACT:In order to analyze the potencial effects of a financial reform aimed to provide more flexibility to Colombian Pension Funds´ regulation, this documenttheoretically evaluates the effects of this reform over agents´ welfare, by applying the Constant Absolute Risk Aversion (CARA) assumption and Modern Portfolio (Diversification) Theory. An empirical counterfactual exercise is used to estimate the value of pension personal account´s on the case that the foundations of this financial reform happen to be present between 1980 and 2009. Theoretical analysis suggests that individuals decrease their risk exposition according to an increase in the accumulated value in their personalaccounts. In contrast, counterfactual´s exercise conclusion is that the bestchoice for individuals would have been to invest the whole portfolio in variable rent assets.

Suggested Citation

  • Carlos Andrés Hernández García, 2009. "Efectos del sistema multifondos en el Régimen de Ahorro Individual en Colombia," Revista de Economía del Rosario, Universidad del Rosario, November.
    • Handle: RePEc:col:000151:008800
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    References listed on IDEAS

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    More about this item

    Keywords

    Sistema de pensiones; sistema multifondos; Teoríaa de Diversificación del portafolio; función de utilidad CARA.;
    All these keywords.

    JEL classification:

    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • 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
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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