Efeitos da diversificação de ativos na eficiência da gestão dos investimentos dos fundos de pensão brasileiros
AUTOR(ES)
Luiz da Penha Souza da Silva
DATA DE PUBLICAÇÃO
2009
RESUMO
The objective of this thesis was to evaluate the Brazilian pension funds assets allocation considering four feasible scenarios. One of the scenarios assumes economic stability with real interest rates of approximately 4% per year. The model used in this thesis was the theory of portfolio, proposed by Harry Markowitz. The results of this research presented that, in the scenario with real interest rates of 4% per year, the expected return for the same risk of the current portfolio, hypothetically representative of the portfolio of Brazilian pension funds, was 4.53% per year. Such return includes domestic assets with higher risk in the portfolio. On the other hand, including international investments, the return was in the range from 4.78% to 5.41% per year, even considering the cambial risk. The thesis also explored the limits for allocation; the results presented that the imposition of limits has caused an increase in risk, shifting the efficient frontier to the right. Thus, the study presents elements which significantly contribute to the discussion of this important topic, supporting the management of pension funds and the regulatory agency in reviewing the normative that governs the subject. The study technically concludes that the Brazilian pension funds can further improve efficiency in resources allocation in any scenario. Besides, in the scenario of stability with real interest rates around 4% a year, it is essential the alternative assets allocation including international investments.
ASSUNTO(S)
carteiras de média-variância markowitz theory of portfolio theory of portfolio teoria de portfólio de markowitz efficient frontier asset allocation teoria de carteiras economia alocação de ativos fronteira eficiente international investment by pension funds brazilian investimentos no exterior pelos fundos de pensão brasileiros mean-variance portfolio
