Research developed at LAMPS/PUC-Rio in partnership with Clapes UC and The Adolfo Ibáñez University is cited in La Tercera, in an article on the Chilean private pension system

Moved by the debate on the pension reform ocurring in Chile, Pulso, the business supplement of the mass-circulation newspaper La Tercera, published today a news story on the incompatibility between risk and return of the Chilean current program. Such incongruence was highlighted by an extensive research headed by Prof. Arturo Cifuentes (Clapes UC).

“Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?” is one of the three articles cited by Pulso. In it, Prof. Davi Valladão and the researcher Tomás Guitierrez, both from  LAMPS, as well as Cifuentes and Bernardo Pagnoncelli (UAI), propose a solution to the problem.

“¿QUÉ SE PROPONE? En el segundo estudio, en el que participó Cifuentes y Pagnoncelli con Tomás Gutiérrez y Davi Valladao, se propone una solución para realinear los riesgos con los retornos. Los autores proponen que el sistema actual, en el que los fondos se dividen por tipo de activos, con mínimos y máximos, sea reemplazado por un sistema de límites medido con VaR (Value-atRisk, o valorización en riesgo) o CVaR (valorización en riesgo condicional), que limita las inversiones directamente al riesgo tomado, y no a la clase de activos. Esto no sólo permitía alinear los riesgos con los retornos, sino que daría más flexibilidad a los gestores de fondos.” (Pulso, Thursday, April 2nd, 2019)

See the whole news story in here and the complete article, published at Insurance: Mathematics and Economics, in here.