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Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia

Author

Listed:
  • Alejandro Reveiz
  • Carlos León
  • Juan Mario Laserna
  • Ivonne Martínez

Abstract

Este documento evalúa la regulación vigente relacionada con la administración de losportafolios de los Fondos de Pensiones Obligatorios (FPO), para esto revisa la literaturarelacionada con la eficiencia del Sistema dadas sus actuales restricciones. Se concluyeque el marco regulatorio de las inversiones de los FPO restringen el retorno esperado yhace que los administradores de portafolios no accedan a niveles superiores de retornopor unidad de riesgo con mayores beneficios de diversificación. Así mismo se limita lacapacidad del administrador de construir portafolios que reflejen el perfil de riesgo delafiliado. Se muestra que la fórmula de rentabilidad mínima genera incentivos perversospara que las AFP´s no incurran en riesgo llevando a los Administradores a estrategiasque sincronicen los retornos de los portafolios para minimizar el impacto de laincertidumbre generado por la fórmula de rentabilidad mínima. Las propuestas van en elsentido de flexibilizar las inversiones y adecuarlas de acuerdo al perfil de riesgo de loscotizantes utilizando el esquema de Multifondos implementando en otros países de laregión

Suggested Citation

  • Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," Borradores de Economia 4599, Banco de la Republica.
    • Handle: RePEc:col:000094:004599
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    References listed on IDEAS

    as
    1. Diego Jara, 2006. "Modelo de la regulación de las AFP en Colombia y su impacto en el portafolio de los fondos de pensiones," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 24(52), pages 162-221, December.
    2. repec:bdr:ensayo:v::y:2005:i:49:p:192-239 is not listed on IDEAS
    3. Mr. Jorge A Chan-Lau, 2004. "Pension Funds and Emerging Markets," IMF Working Papers 2004/181, International Monetary Fund.
    4. Oecd, 2006. "OECD Guidelines on Pension Fund Asset Management," Financial Market Trends, OECD Publishing, vol. 2006(2), pages 171-187.
    5. Diego Jara & Carolina Gómez & Andrés Pardo, 2005. "Análisis de eficiencia de los portafolio pensionales obligatorios en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 23(49), pages 192-239, December.
    6. Oscar Martínez A. & Andrés Murcia Pabón, 2007. "Desempeño financiero de los fondos de pensiones obligatorias en Colombia," Temas de Estabilidad Financiera 022, Banco de la Republica de Colombia.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Alejandro Reveiz & Carlos León, 2010. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 7, pages 134-157, Palgrave Macmillan.
    2. repec:idb:brikps:365 is not listed on IDEAS
    3. Javier Alonso & Carlos Herrera & Claudia Llanes Valenzuela & David Tuesta, 2010. "Simulations of long-term returns and replacement rates in the Colombian pension system," Working Papers 1029, BBVA Bank, Economic Research Department.

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    More about this item

    Keywords

    Regulación de los Fondos de Pensiones Obligatorios; Fronteraseficientes; Multifondos; Portafolio de referencia.;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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