Abstract

NUNEZ MORA, José Antonio  and  LEON ALVARADO, Martha Angélica. Determination of a reference portfolio for the Siefore Básicas through a risk-return model that optimizes the replacement rate. EconoQuantum [online]. 2019, vol.16, n.1, pp.57-82. ISSN 2007-9869.  https://doi.org/10.18381/eq.v16i1.7159.

The Mexican system of pensions nowadays works through individual accounts, where the employee, employer and the government give a percentage of the wage to the individual account of the worker. The resources are invested in different financial instruments trough Investment Societies (SIEFORES). The objective of the paper is to construct a benchmark portfolio for each of four Basic SIEFORE, which permits incorporate the existence of long-term assets and liabilities to optimize the investments of this benchmark portfolio and to obtain the biggest replacement rate. The selected benchmark portfolio in the model assigns a low percentage of instrument of variable income and a greater weight to the fixed income, and the optimization selects portfolios with instrument of smaller term, 3 and 5 years, which are preferable than instrument of long term.

Keywords : Pension funds; Benchmark portfolios; fixed income; variabe income; H75; J26.

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