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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

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    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 est´en incentivadas a invertir en portafolios eficientes. En el caso colombiano, elementos como la estructura de comisiones y la rentabilidad mínima dadas en la regulaci´on pueden desalinear las preferencias del principal y el agente. Este trabajo presenta un modelo en el que las AFP son agentes que maximizan su utilidad esperada, y se demuestra num´ericamente que la regulación, y en particular la rentabilidad mínima, causan que las AFP prefieran invertir en portafolios ineficientes. Es decir, es posible que esta regulaci´on no proteja ´optimamente los ahorros de los afiliados al sistema de pensiones obligatorias.

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    Bibliographic Info

    Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 416.

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    Handle: RePEc:bdr:borrec:416

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    Keywords: portafolio eficiente; función de utilidad; regulación de las AFP. Classification JEL: D81; G11; G23.;

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    1. Luis Eduardo Arango & Luis Fernando Melo, . "Determinantes de la elección de administradora de pensiones: primeras estimaciones a partir de agregados," Borradores de Economia 383, Banco de la Republica de Colombia.
    2. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds’ structure, performance and investments: cross-country evidence," MPRA Paper 14753, University Library of Munich, Germany.
    3. Ulpiano Ayala & Olga Lucía Acosta, 2002. "Políticas para promover una ampliación de la cobertura del sistema de pensiones en Colombia," DOCUMENTOS DE INVESTIGACION 003352, CEPAL NACIONES UNIDAS.
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