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标题：EVALUACIÓN, SELECCIÓN DE ACTIVOS Y CONFORMACIÓN DE PORTAFOLIOS APLICADOS A LOS FONDOS DE PENSIONES EN COLOMBIA (Artículo pubilcado en inglés)
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作者：Luis Berggrun Preciado ; Fernando Jaramillo Recio
期刊名称：Estudios Gerenciales
印刷版ISSN：0123-5923
出版年度：2010
卷号：26
期号：117
页码：13-40
语种：English
出版社：Universidad Icesi
摘要：This study examines performance of mandatory and voluntary pension funds in the 2004 – 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performance improvements in an evaluation period when choosing a particular methodology. The first one suggested by Markowitz (1952) and the second by Reveiz and Leon (2008b). We find an increase in risk, using several metrics, of mandatory and voluntary pension funds as well as a set of funds that better characterize the common movement of funds’ returns. No evidence was found in regards to economically or statistically significant gains of applying either optimization methodology using several holding periods.
其他摘要：This study examines performance of mandatory and voluntary pension funds in the 2004 – 2008 period. Furthermore, we present a methodology based on principal components that can aid affiliates when selecting funds. Moreover, we examine two portfolio optimization methodologies to evaluate any performance improvements in an evaluation period when choosing a particular methodology. The first one suggested by Markowitz (1952) and the second by Reveiz and Leon (2008b). We find an increase in risk, using several metrics, of mandatory and voluntary pension funds as well as a set of funds that better characterize the common movement of funds’ returns. No evidence was found in regards to economically or statistically significant gains of applying either optimization methodology using several holding periods.
关键词：Pension funds;performance;selection;optimal portfolios;persistence;FONDOS DE PENSIONES;ADMINISTRADORA DE FONDOS DE PENSIONES;ANALISIS DE PORTAFOLIOS;selección portafolios óptimos;Fundos de pensões, desempenho, seleção portfólios ótimos, persistência