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Trayectorias óptimas de inversión durante el ciclo de vida en un sistema de multifondos

Author

Listed:
  • Carlos Alberto Soto Quintero

    ()

  • Alejandra Arboleda Bedoya

    ()

  • Juan Carlos Gutiérrez Betancur

    ()

Abstract

Resumen:Teniendo en cuenta el nuevo esquema de Multifondos en Colombia perteneciente al Régimen de Ahorro Individual, se realizó un análisis mediante la aplicación de herramientas estocásticas y actuariales, con el fin de determinar el momento en el cual un agente (de acuerdo a sus características sociales: género, expectativa salarial, momento en el que empieza a cotizar, probabilidad de cotización) debe realizar el traslado de su cuenta pensional entre los diferentes portafolios ofrecidos. Considerando la rentabilidad y el riesgo que desean asumir los agentes como elementos claves, en general se observa que los individuos deben permanecer un gran porcentaje de su vida laboral en el Fondo de Mayor Riesgo para alcanzar una mayor acumulación de capital financiero y tener una mayor probabilidad de obtener una tasa de reemplazo razonable. En general, se establece que los hombres deben realizar el cambio de su cuenta pensional del Fondo de Mayor Riesgo al Fondo Conservador cuando se acercan a los 40 años, si desean obtener una mayor probabilidad de alcanzar una tasa de reemplazo del 50%. Para alcanzar una tasa de reemplazo entre el 60% y 70% deberán trasladarse después de los 50 años. Para las mujeres las condiciones previsionales son más difíciles que para los hombres, encontrándose que para aumentar la probabilidad de obtener tasas de reemplazo mayores del 60% deberán permanecer toda su vida laboral en el Fondo de Mayor Riesgo.Abstract:Taking into account the new Colombian multi-funds scheme of the Individual Benefits Plan, an analysis was made through the application of stochastic and actuarial tools with the purpose of determining the moment in which an agent (according to their social characteristics: sex, income expectation, moment they begin to pay contributions, contribution probability) must transfer its retirement account into the different offered portfolios. Considering the profitability and the risk as key elements the agents want to assume, it is generally observable that they must remain a great percentage of their working lives in the high-risk investment fund to achieve a greater financial capital accumulation and a greater probability to attain a reasonable replacement rate. In general, it is established that men should transfer from their retirement account of high-risk investment fund to the medium-risk investment fund when they turn 40 if they wish to obtain a greater probability of achieving a 50% replacement. To achieve a replacement rate between 60% and 70% it should be transferred after they turn 50. For women, retirement conditions are more difficult than for men, due to the fact that in order to obtain replacement rates higher than 60% they should remain their entire working lives in the high-risk investment fund.

Suggested Citation

  • Carlos Alberto Soto Quintero & Alejandra Arboleda Bedoya & Juan Carlos Gutiérrez Betancur, 2012. "Trayectorias óptimas de inversión durante el ciclo de vida en un sistema de multifondos," DOCUMENTOS DE TRABAJO CIEF 010713, UNIVERSIDAD EAFIT.
  • Handle: RePEc:col:000122:010713
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    File URL: http://repository.eafit.edu.co/bitstream/handle/10784/728/2012_24_Juan_Carlos_Gutierrez.pdf?sequence=1&isAllowed=y
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    References listed on IDEAS

    as
    1. Wade D. Pfau, 2009. "Lifecycle Funds and Wealth Accumulation for Retirement:Evidence for a More Conservative Asset Allocation as Retirement Approaches," GRIPS Discussion Papers 09-15, National Graduate Institute for Policy Studies.
    2. Alejandro Reveiz & Carlos León & Freddy H. Castro & Gabriel piraquive, 2009. "Modelo de simulación del valor de la pensión de un trabajador en Colombia," Borradores de Economia 553, Banco de la Republica de Colombia.
    3. Javier Alonso & Claudia Llanes Valenzuela & David Tuesta & Carlos Herrera, 2010. "Simulaciones de rentabilidades de largo plazo y tasas de reemplazo en el sistema de pensiones de Colombia," Working Papers 1030, BBVA Bank, Economic Research Department.
    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. repec:bdr:ensayo:v::y:2005:i:49:p:192-239 is not listed on IDEAS
    6. Alejandro Reveiz & Carlos León, 2008. "Administración de fondos de pensiones y multifondos en Colombia," BORRADORES DE ECONOMIA 004598, BANCO DE LA REPÚBLICA.
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    More about this item

    Keywords

    Multifondos; Tasa de Reemplazo; Fondos del Ciclo de Vida; Valor en Riesgo; Trayectoria Óptima;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions

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