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Cuantificación de la Pérdida de Bienestar Asociada a la Imposición de Restricciones en la Optimización de Carteras de las Administradoras de Fondos de Retiro

  • Elvio Accinelli


    (Facultad de Ingeniería, IMERL, Universidad de la República)

  • Alfredo Piria


    (Facultad de Ingeniería, IMERL, Universidad de la República)

  • Raúl Tempone


    (Facultad de Ingeniería, IMERL, Universidad de la República)

Las restricciones impuestas por organismos reguladores al diseño de carteras de administradoras de fondos de retiro, pretenden orientar el comportamiento de las administradoras, no obstante estas restricciones conllevan pérdida de bienestar por parte de los ahorristas. En el presente trabajo se cuantifica, en forma numérica, la pérdida de bienestar asociado a diferentes restricciones posibles. Para ello se utilizan técnicas de programación matemática, las que permiten a la vez obtener en forma rápida portafolios óptimos en el marco de tales restricciones. Un ejemplo numérico pretende ayudar a entender la situación creada.

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Paper provided by Department of Economics - dECON in its series Documentos de Trabajo (working papers) with number 0699.

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Length: 20 pages
Date of creation: Feb 1999
Date of revision:
Handle: RePEc:ude:wpaper:0699
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