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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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Listed author(s):
  • 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 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.

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    File URL: http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/espe_052-4.pdf
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    Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

    Volume (Year): 24 (2006)
    Issue (Month): 52 (December)
    Pages: 162-221

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    Handle: RePEc:col:000107:004268
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    Keywords: Portafolio eficiente; función de utilidad; regulación de las AFP.;

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    Find related papers by 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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    1. repec:bdr:ensayo:v::y:2005:i:49:p:192-239 is not listed on IDEAS
    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. Luis Eduardo Arango & Luis Fernando Melo, 2006. "Determinantes De La Elección De Administradora De Pensiones: Primeras Estimaciones A Partir De Agregados," BORRADORES DE ECONOMIA 002315, BANCO DE LA REPÚBLICA.
    4. Diego Jara & Carolina Gómez & Andrés Pardo, 2005. "Análisis de eficiencia de los portafolios pensionales obligatorios en Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 23(49), pages 192-239, December.
    5. Shah, Hemant, 1997. "Toward better regulation of private pension funds," Policy Research Working Paper Series 1791, The World Bank.
    6. 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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    Cited by:

    1. Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 78-113, Junio.

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