Cuantificación de la pérdida de bienestar asociada a la imposición de carteras de las administradoras de fondos de retiro

Elvio Accinelli (), Alfredo Piria and Raúl Tempone
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Alfredo Piria: Universidad de la República Oriental del Uruguay
Raúl Tempone: Universidad de la República Oriental del Uruguay

Estudios Económicos, 1999, vol. 14, issue 1, pages 129-153

Abstract: 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 I 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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