Quantifying the Costs of Investment Limits for Chilean Pension Funds
AbstractSince its creation in 1981, Pension Funds Administrators in Chile were not free to choose optimal investment portfolios because of a stringent regulation on investment limits. The diagnosis implicit with the imposition of limits was that the Chilean capital market was not deep and that there was an important demand for funds to finance the expansion of the productive sector. As this regulation entails an inefficient combination of risk and return, this paper quantifies its costs.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 248.
Date of creation: Dec 2003
Date of revision:
Other versions of this item:
- Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
- 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
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-15 (All new papers)
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- Solange M. Berstein & R�mulo A. Chumacero, 2012.
"VaR limits for pension funds: an evaluation,"
Taylor and Francis Journals, vol. 12(9), pages 1315-1324, May.
- Solange Berstein & Rómulo Chumacero, 2008. "VaR Limits for Pension Funds: An Evaluation," Working Papers 26, Superintendencia de Pensiones, revised May 2008.
- Berstein, Solange & Chumacero, Rómulo, 2010. "VaR Limits for Pension Funds: An Evaluation," MPRA Paper 22574, University Library of Munich, Germany.
- Greg Brunner & Richard Hinz & Roberto Rocha, 2008. "Risk-based Supervision of Pension Funds : Emerging Practices and Challenges," World Bank Publications, The World Bank, number 6419, October.
- Claudio Raddatz & Sergio Schmukler, 2010.
"Pension Funds And Capital Market Development: How Much Bang For The Buck?,"
38, Superintendencia de Pensiones, revised Feb 2010.
- Raddatz, Claudio & Schmukler, Sergio L., 2008. "Pension Funds And Capital Market Development:How Much Bang For The Buck?," Policy Research Working Paper Series 4787, The World Bank.
- Raddatz, Claudio & Schmukler, Sergio L., 2011.
"Deconstructing herding : evidence from pension fund investment behavior,"
Policy Research Working Paper Series
5700, The World Bank.
- Claudio Raddatz & Sergio Schmukler, 2013. "Deconstructing Herding: Evidence from Pension Fund Investment Behavior," Journal of Financial Services Research, Springer, vol. 43(1), pages 99-126, February.
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