IDEAS home Printed from https://ideas.repec.org/p/rbp/wpaper/2014-005.html
   My bibliography  Save this paper

Eficiencia financiera en los portafolios de inversión de las AFP en el Perú: Un enfoque robusto de Multifondos

Author

Listed:
  • Mendoza, Rodrigo

    (UPC)

Abstract

Este documento evalúa la eficiencia financiera de los portafolios de inversión de las Administradoras de Fondos de Pensiones (AFP) durante el periodo 2006-2011. Se encuentra que un portafolio es más eficiente, en el sentido financiero, cuando se minimiza la diferencia entre el ratio de Sharpe del mismo respecto del portafolio de mercado. La estimación de dicho ratio se realiza, en el marco de una optimización robusta de portafolio, por medio del enfoque denominado ‘Encogimiento No Paramétrico’. Se consideran las restricciones legales relevantes así como aquellas que capturan el grado de liquidez del mercado de capitales local. Se concluye que, en el periodo de análisis, ninguno de los tres tipos de fondos satisface los criterios de eficiencia financiera establecidos.

Suggested Citation

  • Mendoza, Rodrigo, 2014. "Eficiencia financiera en los portafolios de inversión de las AFP en el Perú: Un enfoque robusto de Multifondos," Working Papers 2014-005, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2014-005
    as

    Download full text from publisher

    File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2014/documento-de-trabajo-05-2014.pdf
    File Function: Application/pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    3. John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
    4. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, August.
    5. Statman, Meir, 1987. "How Many Stocks Make a Diversified Portfolio?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 353-363, September.
    6. Pereda Javier, 2007. "Estimación de la Frontera Eficiente para las AFP en el Perú y el Impacto de los Límites de Inversión: 1995-2004," Working Papers 2007-009, Banco Central de Reserva del Perú.
    7. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    8. Isabelle Huault & V. Perret & S. Charreire-Petit, 2007. "Management," Post-Print halshs-00337676, HAL.
    9. Nikita Cespedes, 2005. "Un Enfoque de Teoría de Juegos del Sistema Privado de Pensiones Peruano," Industrial Organization 0505002, EconWPA.
    10. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    AFP; Multifondos; Sistema Privado de Pensiones; optimización de portafolio; robustez; eficiencia financiera;

    JEL classification:

    • 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
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rbp:wpaper:2014-005. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Research Unit). General contact details of provider: http://edirc.repec.org/data/bcrgvpe.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.