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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

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  • 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)

Abstract

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.

Suggested Citation

  • Elvio Accinelli & Alfredo Piria & Raúl Tempone, 1999. "Cuantificación de la Pérdida de Bienestar Asociada a la Imposición de Restricciones en la Optimización de Carteras de las Administradoras de Fondos de Retiro," Documentos de Trabajo (working papers) 0699, Department of Economics - dECON.
  • Handle: RePEc:ude:wpaper:0699
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    References listed on IDEAS

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