期刊名称：Journal of Economics, Finance and Administrative Science
印刷版ISSN：2077-1886
电子版ISSN：2218-0648
出版年度：2010
卷号：15
期号：29
页码：95-117
语种：Spanish
出版社：Universidad ESAN
摘要：This article provides a re-estimation of the pension plan funds administrators’ eficient frontier. The goal here is two-fold: on the one hand it measures the effect of investment limits imposed by regulators. Unlike previous studies, here the short positions are not limited; this assumption is based upon the completeness of the financial markets: when the markets are completed, any ¿nancial instrument may be replicated. On the other hand, this article measures the performance of the pension plan funds. In earlier works, the performance was measured as the difference between the profitability in the frontier and the one obtained at the level of a given risk; here the return is measured as the relationship of optimal risk pro¿tability and the one obtained. The main conclusion drawn is that regulation supports the high level of risks taken by the administrators.
