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  • 1
    Publication Date: 2018-08-23
    Description: In this article, we determine a charge on balance that is equivalent to a certain fixed charge on flow for a particular utility–maximizer affiliate participating in a defined-contribution pension fund under the system of individual accounts. We also prove, under market completeness, that the equivalent charge on balance depends only on the current level of the charge on flow, the length of the accumulation period and the risk free rate of return.
    Description: En este artículo se determina una exacción en el balance, que es equivalente a cierta tasa fija en el flujo de una empresa asociada particular maximizadora, que participa en un fondo de pensiones de aportación definida en el sistema de cuentas individuales. También se prueba, en la integridad del mercado, que la exacción de tipo equivalente en el balance depende solo del nivel actual de la tasa en el flujo, la duración del período de acumulación y un tipo de rentabilidad sin riesgo.
    Keywords: G23 ; ddc:330 ; Pension fund ; Defined benefit ; Individual account ; Charge on balance ; Charge on flow ; Fondo de pensiones ; Beneficio definido ; Cuenta individual ; Exacción en el balance ; Exacción en el flujo
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
    Type: doc-type:article
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  • 2
    Publication Date: 2018-08-23
    Description: Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits handling non-linear and nonconvex objectives functions that are difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the investor more information about the portfolio holdings since the optimization is performed over portfolio strategies. Finally, an empirical implementation and an analysis of selected characteristics are presented for the S&P500 index.
    Description: Basándonos en el trabajo de Brandt et al. (2009), formulamos un modelo de seguimiento de índices e indexación mejorada utilizando un enfoque paramétrico. Los pesos de cartera se modelan como funciones de características de activos y medidas de similitud de los activos con el índice objeto de seguimiento. Este enfoque permite tratar funciones de objetivos no lineales y no convexos, difíciles de incorporar en modelos de indexación mejorada y seguimiento de índices existentes. Además, proporciona al inversor más información sobre los valores en cartera porque la optimización se lleva a cabo en torno a estrategias de portafolio. Por último, se presenta una implementación empírica y un análisis de características seleccionadas del índice S&P500.
    Keywords: A00 ; ddc:330 ; Index tracking ; Enhanced indexation ; Parametric ; Seguimiento de índices ; Indexación mejorada ; Paramétrico
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 3
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    Santiago de Chile: Universidad de Chile, Departamento de Economía
    Publication Date: 2016-09-29
    Description: In the present article we develop a discrete-time methodology to compare frontend load and balance fees in the accumulation phase of a defined-contribution pension fund under the system of individual accounts. Additionally, using various methods, we study the effect of considering risk and density of contributions in the performance and suitability of the aforementioned types of fees. Finally, we perform a practical application of the methodology to the Peruvian Private Pension System.
    Keywords: G23 ; ddc:330 ; pension funds ; individual account ; front-end load fee ; balance fee
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
    Type: doc-type:article
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