Administración del riesgo de mercado para los portafolios de inversión de los fondos de pensiones obligatorias en Colombia durante el 2010 – 2013
Devaluations as presented in the first half of 2013 have caused losses of nearly 4, 9 billion pesos in the portfolios of the Pension Fund Administrators (AFP). These devaluations affect savings for future pensioners who depend exclusively on the financial performance of the portfolios of the AFP. In...
| Autor Principal: | Pérez Gómez, Diego Leonardo |
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| Formato: | info:eu-repo/semantics/bachelorThesis |
| Idioma: | spa |
| Publicado: |
Universidad de La Salle. Facultad de Ciencias Económicas y Sociales. Economía.
2016
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| Materias: | |
| Acceso en línea: |
http://hdl.handle.net/10185/18153 |
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| Sumario: |
Devaluations as presented in the first half of 2013 have caused losses of nearly 4, 9 billion pesos in the portfolios of the Pension Fund Administrators (AFP). These devaluations affect savings for future pensioners who depend exclusively on the financial performance of the portfolios of the AFP. In this paper an analysis of market risk using AFP Markowitz theory of portfolio construction and risk measures to anticipate future losses is performed. To this end, representative market indices in which to invest the AFP are selected. The results of the study are: first built by the AFP portfolios are ineffective or are not supported under the mean – variance criterion; second portfolios without investment limits are more profitable and less risky and third it´s that the expected loss for portfolios with investment limits under normal market conditions is much lower than the other portfolios constructed.
Keywords: Pension Fund Administrators, Efficient Portfolios, Value at risk, Backtesting, Garch Models. |
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