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Cuantificación de los Costos de los Limites de Inversión para los Fondos de Pensiones Chilenos

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Author Info

  • Solange Berstein
  • Rómulo Chumacero

    ()
    (Studies Division, Chilean Pension Supervisor)

Abstract

Desde la creación del sistema en 1981, las Administradoras de Fondos de Pensiones (AFPs) no han podido elegir libremente sus carteras de inversión. Esto es producto de una estricta regulación de las inversiones, específicamente a través de restricciones cuantitativas: límites. Uno de los elementos importantes en el diagnóstico implícito en esta regulación es que el mercado de capitales en Chile, a comienzos de los ochenta, no estaba suficientemente desarrollado. A esto se le suma la percepción de importantes problemas de asimetrías de información por parte de los afiliados que se ven obligados a invertir fondos en las AFPs y la existencia de garantías estatales. Asimismo, existía una fuerte demanda interna por financiamiento, por lo que parecía más conveniente el destinar esos recursos a satisfacer dichas demandas, prohibiendo la inversión en el extranjero. Aun cuando existían motivos para implementar un restrictivo régimen de inversiones, esto no esta exento de costos, puesto que esta regulación implica una combinación de riesgo-retorno ineficiente. Este artículo intenta cuantificar dichos costos..

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File URL: http://www.spensiones.cl/redirect/files/doctrab/DT00003.pdf
File Function: Revised version, 2005
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Bibliographic Info

Paper provided by Superintendencia de Pensiones in its series Working Papers with number 3.

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Date of creation: Apr 2005
Date of revision: Apr 2005
Handle: RePEc:sdp:sdpwps:3

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Web page: http://www.spensiones.cl/
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Related research

Keywords: Fondo de Pensiones; elección de portfolio; Valor en Riesgo; límites;

References

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  1. Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Centre de Recherche en Economie et Statistique.
  2. Eduardo Walker, 1993. "Desempeño Financiero de las Carteras Accionarias de los Fondos de Pensiones en Chile ¿Ha Tenido Desventajas ser Grandes?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 30(89), pages 35-76.
  3. Patricio Arrau & Rómulo Chumacero, 1998. "Tamaño de los Fondos de Pensiones en Chile y su Desempeño Financiero," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 205-236.
  4. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
  5. Robert Shiller, 1998. "Indexed Units of Account: Theory and Assessment of Historical Experience," Working Papers Central Bank of Chile 28, Central Bank of Chile.
  6. LeRoy,Stephen F. & Werner,Jan, 2001. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9780521586054, April.
  7. Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile.
  8. Tsong-Yue Lai & Ko Wang & Su Han Chan & Daniel C. Lee, 1992. "A Note on Optimal Portfolio Selection and Diversification Benefits with a Short Sale Restriction on Real Estate Assets," Journal of Real Estate Research, American Real Estate Society, vol. 7(4), pages 493-501.
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Citations

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Cited by:
  1. Pamela Córdova Olivera, 2014. "Sistema de pensiones y profundidad financiera: Evidencia empírica de cointegración para el caso Boliviano," Investigación & Desarrollo 0314, Universidad Privada Boliviana, revised Jan 2014.
  2. Musalem, Alberto R. & Pasquini, Ricardo, 2012. "Private pension systems : cross-country investment performance," Social Protection Discussion Papers 68937, The World Bank.
  3. Ramon Moreno & Marjorie Santos, 2008. "Pension systems in EMEs: implications for capital flows and financial markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial globalisation and emerging market capital flows, volume 44, pages 45-69 Bank for International Settlements.

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