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Cuadernos de Administración
versão impressa ISSN 0120-3592
Resumo
CHIRINOS GRADOS, Miguel Víctor e CADILLO VASQUE, Fernando José. Does releasing foreign investment bounds improve the performance of pension funds?. Cuad. Adm. [online]. 2015, vol.28, n.50, pp.61-89. ISSN 0120-3592.
This article evaluates the regulator's proposal to increase the bounds on foreign investment of the Peruvian Pension Funds. The subject is analyzed from two perspectives: the first determines whether higher investment levels in foreign markets improve the diversification of the investment portfolio; to specify the co-relation level we make use of the copula model. The second perspective analyzes the effects caused by the clashes generated in the foreign markets through the extreme value theory. The results suggest, as a policy recommendation, to reduce the levels of investment on shares and foreign investment in the investment portfolios of the pension funds.
Palavras-chave : Contagion; copula; extreme value theory; portfolio.