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  • 标题:Impacto da Aplicação em Ativos Internacionais no Desempenho dos Fundos de Pensão no Brasil
  • 本地全文:下载
  • 作者:Raphael Braga Silva ; Roberto Moreno Moreira ; Luiz Felipe Jacques Motta
  • 期刊名称:Brazilian Review of Finance
  • 印刷版ISSN:1984-5146
  • 出版年度:2009
  • 卷号:7
  • 期号:2
  • 页码:237-258
  • DOI:10.12660/rbfin.v7n2.2009.1254
  • 出版社:Link to the Brazilian Society of Finance
  • 摘要:The present study has performed an analysis of the effects caused in the performance of Brazilian pension funds by the inclusion of international assets in their portfolios. The Resolution CMN 3456 of June 1, 2007 allowed pension funds in Brazil to allocate up to 3% of their investments in international hedge funds. Given the wide range of assets classes available in this category of hedge funds, this study has focused on international assets. The investments in such asset classes do not generate a major effect on the efficient frontier of the pension funds’ investments. The results do not change much even if we increase the constraint from 3% to 20%. However, changes in the current economic environment indicate that finding alternative investments that can enhance the asset performance on a long term view will be a crucial factor to maintain the financial health of pension funds.
  • 关键词:fundos de pens˜ao; ativos internacionais.
  • 其他关键词:International Assets
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