Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102203 | The North American Journal of Economics and Finance | 2017 | 10 Pages |
Abstract
We propose a two-step hybrid investment strategy suitable for pension funds. Our method consists of an active component (an optimization-based approach to decide the asset allocation), followed by a passive strategy (an index-based approach). We test our strategy with data from the Chilean pension system using two different risk metrics and we show that our approach, in three out of five cases, yields results that are better than those generated by the Chilean fund administrators. In the two cases where our approach underperformed we show that it was the result of excessively tight constraints set up by the regulator.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Bernardo K. Pagnoncelli, Arturo Cifuentes, Gabriela Denis,