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

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  • 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

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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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    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

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