OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW

The study aims to identify the portfolio of investment funds from a financial institution (administrator) with the best risk and return ratio (optimal portfolio) for investment of Proper Social Security Systems, known as “RPPS”, pursuant to applicable legislation. Markowitz's (1952) model amend...

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Principais autores: Trintinalia, Clemente, Serra, Ricardo Goulart
Formato: Online
Idioma:por
Publicado em: Portal de Periódicos Eletrônicos da UFRN
Endereço do item:https://periodicos.ufrn.br/ambiente/article/view/10808
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institution Periódicos UFRN
collection Portal de Pediódicos Eletrônicos da UFRN
language por
format Online
author Trintinalia, Clemente
Serra, Ricardo Goulart
spellingShingle Trintinalia, Clemente
Serra, Ricardo Goulart
OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW
author_facet Trintinalia, Clemente
Serra, Ricardo Goulart
author_sort Trintinalia, Clemente
title OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW
title_short OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW
title_full OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW
title_fullStr OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW
title_full_unstemmed OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW
title_sort optimization of a portfolio of investment funds available for investment of the proper social security systems (rpps), in accordance with applicable law
description The study aims to identify the portfolio of investment funds from a financial institution (administrator) with the best risk and return ratio (optimal portfolio) for investment of Proper Social Security Systems, known as “RPPS”, pursuant to applicable legislation. Markowitz's (1952) model amended by Tobin's (1952) and Sharpe's (1966) assumptions was used in a sample of 23 investment funds, which estimation of parameters covered the period from June 2013 to June 2015. The optimal portfolio obtained shows a very high percentage of fixed income funds with a minimum percentage of equity funds in their composition. Concerning to the optimization of the "risk and return", the legal restrictions proved to be unfavorable because, when disregarded, made it possible to obtain optimal portfolio with better performance than the one subject to the legal restrictions. Because leverage is not allowed, no optimal solution, with or without legal restrictions reached the RPPS actuarial target (6% real interest).
publisher Portal de Periódicos Eletrônicos da UFRN
publishDate 2017
url https://periodicos.ufrn.br/ambiente/article/view/10808
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AT serraricardogoulart optimizationofaportfolioofinvestmentfundsavailableforinvestmentofthepropersocialsecuritysystemsrppsinaccordancewithapplicablelaw
AT trintinaliaclemente optimizaciondeunacarteradefondosdeinversiondisponibleparalainversiondeunregimendelaseguridadsocialrppsconfomelalegislationaplicable
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spelling oai:periodicos.ufrn.br:article-108082021-10-19T13:57:12Z OPTIMIZATION OF A PORTFOLIO OF INVESTMENT FUNDS AVAILABLE FOR INVESTMENT OF THE PROPER SOCIAL SECURITY SYSTEMS (RPPS), IN ACCORDANCE WITH APPLICABLE LAW OPTIMIZACIÓN DE UNA CARTERA DE FONDOS DE INVERSIÓN DISPONIBLE PARA LA INVERSIÓN DE UN REGÍMEN DE LA SEGURIDAD SOCIAL (RPPS), CONFOME LA LEGISLATIÓN APLICABLE OTIMIZAÇÃO DE UMA CARTEIRA DE FUNDOS DE INVESTIMENTO DISPONÍVEIS À APLICAÇÃO DE RECURSOS DOS REGIMES PRÓPRIOS DE PREVIDÊNCIA SOCIAL (RPPS), CONFORME A LEGISLAÇÃO APLICÁVEL Trintinalia, Clemente Serra, Ricardo Goulart Investment funds. Proper Social Security Systems. Portfolio Optimization. Fondos de inversión. Régimens Propios de Seguridad Social. Optimización de la cartera. Fundos de Investimento. Regimes Próprios de Previdência Social. Otimização de Carteiras. The study aims to identify the portfolio of investment funds from a financial institution (administrator) with the best risk and return ratio (optimal portfolio) for investment of Proper Social Security Systems, known as “RPPS”, pursuant to applicable legislation. Markowitz's (1952) model amended by Tobin's (1952) and Sharpe's (1966) assumptions was used in a sample of 23 investment funds, which estimation of parameters covered the period from June 2013 to June 2015. The optimal portfolio obtained shows a very high percentage of fixed income funds with a minimum percentage of equity funds in their composition. Concerning to the optimization of the "risk and return", the legal restrictions proved to be unfavorable because, when disregarded, made it possible to obtain optimal portfolio with better performance than the one subject to the legal restrictions. Because leverage is not allowed, no optimal solution, with or without legal restrictions reached the RPPS actuarial target (6% real interest). El objetivo del estudio es identificar la cartera de los fondos de una institución financiera con la mejor relación de "riesgo y rendimiento" (cartera óptima) para la inversión de los Régimens Propios de Seguridad Social (RPPS), de conformidad de la legislación aplicable. Se utilizó el modelo de Markowitz (1952), complementado por las enseñanzas de Tobin (1958), y Sharpe (1965). La estimación de los parámetros se produjo en el período junio 2013 junio 2015 usando de las muestras con 23 y 24 fondos de inversión. Los portafolios óptimos obtenidos por el modelo muestran un muy alto porcentaje de los fondos de renta fija con un muy pequeño porcentaje de los fondos de acciones en la composición. Las restricciones legales no son favorables a la optimización del "riesgo y rendimiento" porque cuando ignoramos, hecho posible la obtención de portafolios óptimos con mejores performances en comparación con los sujetos a dichas restricciones. Al no permitir el uso del apalancamiento financiero, ninguna de las carteras óptimas, con o sin restricciones, alcanzó el objetivo actuarial de RPPS (6% de interés real). O estudo pretende identificar a carteira de fundos de investimento de uma instituição financeira (administrador) com a melhor relação risco e retorno (carteira ótima) à aplicação de recursos dos Regimes Próprios de Previdência Social (RPPS), observada a legislação aplicável. Utilizou-se o modelo de Markowitz (1952), complementado pelos pressupostos de Tobin (1952) e de Sharpe (1966) em amostra com 23 fundos do administrador, cuja estimação dos parâmetros compreendeu o período de junho de 2013 a junho de 2015. A carteira ótima obtida compõe-se massivamente por fundos de renda fixa com uma percentagem ínfima de fundos de renda variável. Concernente à otimização do “risco e retorno”, as restrições legais evidenciaram-se desfavoráveis, pois, quando desconsideradas, possibilitou a obtenção de uma carteira ótima com melhor desempenho comparativamente àquela submetida a tais restrições. Por não se permitir o uso de alavancagem, nenhuma das carteiras ótimas, com ou sem restrições, alcançou a meta atuarial dos RPPS (6% de juro real).   Portal de Periódicos Eletrônicos da UFRN 2017-07-11 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://periodicos.ufrn.br/ambiente/article/view/10808 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 9 No. 2 (2017): Jul./Dez.; 277-295 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 9 Núm. 2 (2017): Jul./Dez.; 277-295 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 9 n. 2 (2017): Jul./Dez.; 277-295 2176-9036 10.21680/2176-9036.2017v9n2 por https://periodicos.ufrn.br/ambiente/article/view/10808/8606 Copyright (c) 2017 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036

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