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: https://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. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Best, Michael J & Grauer, Robert R, 1991. "On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results," The Review of Financial Studies, Society for Financial Studies, vol. 4(2), pages 315-342.
    5. 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.
    6. Isabelle Huault & V. Perret & S. Charreire-Petit, 2007. "Management," Post-Print halshs-00337676, HAL.
    7. Nikita Cespedes, 2005. "Un Enfoque de Teoría de Juegos del Sistema Privado de Pensiones Peruano," Industrial Organization 0505002, University Library of Munich, Germany.
    8. Statman, Meir, 1987. "How Many Stocks Make a Diversified Portfolio?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 353-363, September.
    9. 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.
    10. repec:bla:jfinan:v:58:y:2003:i:4:p:1651-1684 is not listed on IDEAS
    11. 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)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Héctor Darío Balseiro Barrios & Jorge Armando Luna Amador & Francisco Javier Maza Ávila, 2021. "Análisis de eficiencia financiera de las empresas cotizantes en el mercado accionario colombiano para el periodo 2012- 2017," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(1), pages 19-41, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ding, Wenliang & Shu, Lianjie & Gu, Xinhua, 2023. "A robust Glasso approach to portfolio selection in high dimensions," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 22-37.
    2. Xidonas, Panagiotis & Mavrotas, George & Zopounidis, Constantin & Psarras, John, 2011. "IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection," European Journal of Operational Research, Elsevier, vol. 210(2), pages 398-409, April.
    3. Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012. "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1414-1423.
    4. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2013. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky," Finance, Presses universitaires de Grenoble, vol. 34(1), pages 7-41.
    5. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2013. "Composition of robust equity portfolios," Finance Research Letters, Elsevier, vol. 10(2), pages 72-81.
    6. Alexander Kempf & Olaf Korn & Sven Saßning, 2015. "Portfolio Optimization Using Forward-Looking Information," Review of Finance, European Finance Association, vol. 19(1), pages 467-490.
    7. Hsu, Po-Hsuan & Han, Qiheng & Wu, Wensheng & Cao, Zhiguang, 2018. "Asset allocation strategies, data snooping, and the 1 / N rule," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 257-269.
    8. Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
    9. Fu, Yufen & Blazenko, George W., 2017. "Normative portfolio theory," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 240-251.
    10. Haensly, Paul J., 2020. "Risk decomposition, estimation error, and naïve diversification," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    11. Lim Hao Shen Keith, 2024. "Covariance Matrix Analysis for Optimal Portfolio Selection," Papers 2407.08748, arXiv.org.
    12. Schanbacher Peter, 2015. "Averaging Across Asset Allocation Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(1), pages 61-81, February.
    13. repec:dau:papers:123456789/9297 is not listed on IDEAS
    14. Muhinyuza, Stanislas & Bodnar, Taras & Lindholm, Mathias, 2020. "A test on the location of the tangency portfolio on the set of feasible portfolios," Applied Mathematics and Computation, Elsevier, vol. 386(C).
    15. Carmine De Franco & Johann Nicolle & Huy^en Pham, 2018. "Bayesian learning for the Markowitz portfolio selection problem," Papers 1811.06893, arXiv.org.
    16. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc.
    17. Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2005. "Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 37(01), pages 1-14, April.
    18. Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
    19. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
    20. Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.
    21. Oscar De la Torre Torres., 2013. "Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 39(2), pages 119-144, Julio-Dic.

    More about this item

    Keywords

    AFP; Multifondos; Sistema Privado de Pensiones; optimización de portafolio; robustez; eficiencia financiera;
    All these keywords.

    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.

    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 bibliographic 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.

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

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.