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Eficiência Alocativa da Política de Investimentos do Regime Próprio de Previdência Social dos Entes Federativos Brasileiros

Listed author(s):
  • Marcos Antonio Coutinho da Silveira
Registered author(s):

    O trabalho investiga a eficiência alocativa da política de investimentos dos fundos previdenciários instituídos no Regime Próprio de Previdência Social (RPPS) dos Entes Federativos brasileiros. Para tanto, desenvolve-se modelo de alocação estratégica de portfólio para um fundo previdenciário cujos recursos financiam um plano do tipo benefício definido. Este modelo permite derivar a alocação ótima entre as principais classes de ativos financeiros, com base na qual é possível avaliar a eficiência dos investimentos efetuados pelos gestores dos fundos previdenciários, bem como dos limites que a legislação previdenciária impõe sobre sua política de investimentos. Uma vez que os fundos previdenciários são tradicionais investidores de longo prazo, a análise enfatiza o valor de cada classe de ativos como hedge intertemporal para flutuações das oportunidades futuras de investimento. The paper investigates the allocative efficiency of the investment policy of pension funds established within the Welfare and Social Security System of the Brazilian federal entities. For that, it develops a model of strategic asset allocation for a pension fund whose resources fund a defined-benefit plan. This model allows to derive the optimal allocation between the main classes of financial assets, based on which it is possible to evaluate the efficiency of the investments by pension fund managers, as well as of the limits that the social security legislation imposes on their investment policies. Since pension funds are traditional long-term investors, the analysis emphasizes the value of each class of assets as an intertemporal hedge for fluctuations in future investment opportunities.

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    Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1862.

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    Length: 58 pages
    Date of creation: Aug 2013
    Handle: RePEc:ipe:ipetds:1862
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