Cuantificación de la pérdida de bienestar asociada a la imposición de restricciones en la optimización de carteras de las administradoras de fondos de retiro
The restrictions imposed by the regulatory authorities on the composition of retirement-fund portfolios are aimed at avoiding opportunistic behavior on the part of retirement fund managers. However, these restrictions reduce the welfare of the shareholders of such funds. In this paper, the welfare l...
| Main Authors: | , , |
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| Format: | Online |
| Language: | Spanish |
| Editor: |
El Colegio de México, A.C.
1999
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| Subjects: | |
| Online Access: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/227 |
| Journal: |
Estudios Económicos |
| Summary: | The restrictions imposed by the regulatory authorities on the composition of retirement-fund portfolios are aimed at avoiding opportunistic behavior on the part of retirement fund managers. However, these restrictions reduce the welfare of the shareholders of such funds. In this paper, the welfare loss associated with different possible restrictions is quantified. In order to do this, we apply efficient mathematical programming techniques to quickly obtain optimal portfolios given these exogenous constraints. We include a numerical example in order to make the effect of such constraints more clear. |
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