Pablo Castaneda

Universidad Adolfo Ibáñez · School of Business

In several countries public finances are under pressure by pension obligations rising due to downward trends in fertility, increased longevity and financial markets with low interest rates. For these reasons, the establishment of Pension Reserve Funds (PRF) has flourished. Regardless of the specific objectives that these PRFs may have, a critical i...

We propose a representation of suboptimal investment behavior based on the stochastic discount factor (SDF) paradigm. Suboptimal investment behavior is rationalized as being the investor’s optimal decision under a wrong SDF, while wealth trajectories and budget constraints are based on the true SDF. We develop a novel Monte Carlo simulation approac...

We adopt a structural approach to estimate the parameters of the optimal asset allocation rule dictated by a standard dynamic portfolio choice problem. In doing so, we propose two novel approaches to estimates the preference/incentive parameters of the model. We model the asset selection problem of a portfolio manager who balances two investment mo...

We adopt a structural approach to estimate the parameters of the optimal asset allocation rule dictated by a standard dynamic portfolio choice problem. In doing so, we propose two novel approaches to estimates the preference/incentive parameters of the model. We model the asset selection problem of a portfolio manager who balances two investment mo...

The passivity of the demand for pension products is one of the striking features of mandatory pension systems. Consequently, the provision of multiple investment alternatives to households (multifund schemes) does not ensure that contributions are invested efficiently. In addition, despite the theoretical findings that short term return maximizatio...

The industries in which listed firms are concentrated in less developed equity markets are not random nor entirely explained by the underlying composition of production. Listed firms and market capitalization are disproportionately concentrated in industries that exhibit low complete-market betas - as measured by the beta of each industry with the...

El principal objetivo de esta publicación es rescatar una serie de documentos internos de la Superintendencia que sirvieron de apoyo al debate, tanto al interior del Consejo de Reforma Previsional como, luego, durante la tramitación parlamentaria del proyecto de ley. Cada uno de los aspectos contenidos en la Reforma al Sistema de Pensiones, que tom...

Regulation in countries that have adopted defined contribution (DC) pension systems based on savings accounts typically includes minimum return guarantees (MRG) provisions to limit the risk of financial downturns. This paper studies the consequences of this regulation over asset allocation within a standard model of dynamic portfolio selection, whe...

One of the most recent innovations in the Chilean social security system is the introduction of an unemployment insurance that combines individual accounts and a solidarity fund. Since the benefits of the new system are funded in nature, it naturally emerges the issue of how the savings should be invested. This paper analyzes the optimal investment...

El Seguro de Cesantía es una de las innovaciones más importantes de la seguridad social chilena del último tiempo. Uno de sus principales pilares lo constituye el carácter pre-financiado de sus beneficios, de donde nace la importancia de que los fondos acumulados se inviertan adecuadamente. En este artículo se analizan las consideraciones que debie...

One of the most important consequences of the Chilean pension reform undertaken in the early 1980s was to transfer a significant portion of the risk associated to the financing of pensions, from the State, to the pension fund participants of the newly established compulsory pension system. This paper is concerned with the risk embedded in the portf...

A new Unemployment Insurance System based on individual accounts was launched in Chile on October 2002. One of the most interesting features of the system is given by the compensation scheme of the fund manager, which contains a performance based incentive benchmarked to one of the default portfolios of the pension system (pension funds Type E, wit...

The industries in which listed firms are concentrated in less developed equity markets are not random nor entirely explained by the underlying composition of production. Listed firms and market capitalization are disproportionately concentrated in industries that exhibit low risk-sharing capacity (or complete-market betas, as measured by the beta o...