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Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile

Author

Listed:
  • Pablo Castañeda

    (Studies Division, Chilean Pension Supervisor)

Abstract

Un nuevo sistema de seguro de cesantía basado en cuentas individuales fue lanzado en Chile en Octubre 2002. Una de las características más interesantes del sistema está dado por el esquema de compensación del administrador de fondos, que contiene un incentivo asociado a desempeño relativo en relación a los Fondos Tipo E (fondos que invierten solo en renta fija). Este artículo estudia el problema de selección de cartera de un administrador de fondos que está sujeto a un esquema de compensación basado en desempeño. El problema de selección de cartera se plantea en términos de un administrador de fondos averso al riesgo que debe financiar una secuencia exógena de beneficios, y cuyo pago a final de mes depende del valor relativo de cartera que administra, en relación a una cartera referencial exógena. Nuestro interés está dirigido a los efectos del esquema de compensación sobre la selección de cartera. Para la economía de Black y Scholes [1973] somos capaces de determinar la estrategia de inversión óptima de manera expresa. Los resultados muestran que la volatilidad de la cartera seleccionada depende de la composición de la cartera referencial y que el administrador de cartera está motivado a imitar la estrategia de la cartera referencial en ciertos escenarios aleatorios. .

Suggested Citation

  • Pablo Castañeda, 2006. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," Working Papers 16, Superintendencia de Pensiones, revised May 2006.
    • Handle: RePEc:sdp:sdpwps:16
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    benchmark portfolio; individual accounts; portfolio choice; unemployment insurance;
    All these keywords.

    JEL classification:

    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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