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

  • Mendoza, Rodrigo

    (UPC)

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.

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File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2014/documento-de-trabajo-05-2014.pdf
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Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2014-005.

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Date of creation: Apr 2014
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Handle: RePEc:rbp:wpaper:2014-005
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Web page: http://www.bcrp.gob.pe

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  1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  2. 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.
  3. 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, 08.
  4. 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.
  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. 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.
  7. 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.
  8. Nikita Cespedes, 2005. "Un Enfoque de Teoría de Juegos del Sistema Privado de Pensiones Peruano," Industrial Organization 0505002, EconWPA.
  9. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
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