In this present article, we develop a discrete-time methodology to comparefront-end load and balance fees in the accumulation phase of a definedcontributionpension fund under a system of individual accounts. Using thismethodology, we study the effect of risk aversion and other relevant variables inthe performance and suitability of the aforementioned types of fees. Finally, wecarry out a practical application and show the results for the Peruvian PrivatePension System, including indifference values between fees and certaintyequivalent ratios.

In the present article we develop a discrete-time methodology to compare front-end load and balance fees in the accumulation phase of a defined-contribution pension fund under the system of individual accounts. Additionally, using various methods, we study the effect of considering risk and density of contributions in the performance and suitability of the aforementioned types of fees. Finally, we perform a practical application of the methodology to the Peruvian Private Pension System.

In this present article, we develop a discrete-time methodology to comparefront-end load and balance fees in the accumulation phase of a definedcontributionpension fund under a system of individual accounts. Using thismethodology, we study the effect of risk aversion and other relevant variables inthe performance and suitability of the aforementioned types of fees. Finally, wecarry out a practical application and show the results for the Peruvian PrivatePension System, including indifference values between fees and certaintyequivalent ratios.

La estructura de capital de una empresa es la combinación de deuda y patrimonio con la que se planea financiar las inversiones que generarán los ingresos futuros (flujos de caja). Tanto la deuda como el patrimonio tienen rendimientos exigidos (RB y RS respectivamente), con los cuales, cuando se ponderan por su respectiva participación, se obtiene el costo promedio ponderado de capital (RWACC); es decir, el costo global en que la empresa incurre por los fondos recibidos. De ahí que lo más conveniente para una compañía sea disminuir este costo lo máximo posible, pues esto a su vez aumenta su valor. Modigliani y Miller propusieron que, en un mundo con impuestos, mientras mayor sea el apalancamiento, menor será el RWACC y, por ende, mayor será el valor de la empresa, lo que implica que esta puede apalancarse sin límite y seguir incrementando su valor indefinidamente, lo cual no se...

El descuento de flujos de caja para la valorización de empresas y proyectos es parte central de las finanzas por ser el instrumento más difundido para lograr este propósito. Así, la literatura financiera presenta dos métodos cuando se descuentan flujos de caja libre (FCL): el costo promedio ponderado del capital (WACC) y el valor presente ajustado (APV). En el método WACC, los textos de finanzas corporativas indican que la valorización es un proceso iterativo, ya que los FCL de la empresa se descuentan con una tasa WACC para determinar un valor presente: deuda más capital (D + E); pero para calcular el WACC es necesario conocer el valor de la empresa. Este proceso circular, denominado como el problema de circularidad del WACC, se conoce en matemáticas como punto fijo y se resuelve mediante cálculos que involucran un proceso iterativo, así como dar por supuestos una deuda const...

En el campo de las inversiones, los mercados emergentes por lo general se consideran como una región con un comportamiento de bloque; es decir, cuyas economías y activos financieros se comportan de forma similar ante situaciones de riesgo asociadas a conmociones externas o internas. Respecto de los activos de renta fija de los mercados emergentes, se ha observado que los precios reaccionan de forma similar ante eventos idiosincráticos de una economía en particular, lo que sugiere que las crisis financieras asociadas a un determinado país se extienden a otros países emergentes sin importar el estado de las bases económicas de estos últimos. Ello también ha implicado que la ocurrencia o el incremento en la probabilidad de que pueda ocurrir algún evento de riesgo en un país emergente pueden provocar fuertes salidas de capitales de mercados emergentes e impactar sobre sus monedas....

This paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the equilibrium point of the limit order book per share, and (iii) the pricing, order direction and trading volume dynamic resulting from shocks in the same variables when lagged. The econometric results for intraday data from 2012 show that the short-run dynamic of the most and least liquid shares in the General Index of the Lima Stock Exchange is explained by the direction of order flow, whose price impact is temporary in both cases.

In this article, we determine a charge on balance that is equivalent to a certain fixed charge on flow for a particular utility–maximizer affiliate participating in a defined-contribution pension fund under the system of individual accounts. We also prove, under market completeness, that the equivalent charge on balance depends only on the current level of the charge on flow, the length of the accumulation period and the risk free rate of return. Doi: https://doi.org/10.1016/j.jefas.2016.03.003

Based on the work of Brandt et al.(2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits handling nonlinear and nonconvex objectives functions that are difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the investor more information about the portfolio holdings since the optimization is performed over portfolio strategies. Finally, an empirical implementation and an analysis of selected characteristics are presented for the S&P500 index. DOI: http://dx.doi.org/10.1016/j.jefas.2014.03.003

Purpose – This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few dimensions. Design/methodology/approach – The paper opted for an empirical study analyzing the cost of rebalancing portfolios over a set period and dimensions. Stocks have been carefully selected using Bloomberg terminals, and portfolio designed then rebalanced using VBA programming. Over a few dimensions as type and number of stocks, holding period and trading strategy, the behavior of these different transaction costs has been compared. The analysis has been done for four different portfolios. Findings – The paper provides empirical insights about how a retail investor actively trading in Peru can pay up to 14 times more in transaction costs than...

Purpose. This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few dimensions. Design/methodology/approach. The paper opted for an empirical study analyzing the cost of rebalancing portfolios over a set period and dimensions. Stocks have been carefully selected using Bloomberg terminals, and portfolio designed then rebalanced using VBA programming. Over a few dimensions as type and number of stocks, holding period and trading strategy, the behavior of these different transaction costs has been compared. The analysis has been done for four different portfolios. Findings. The paper provides empirical insights about how a retail investor actively trading in Peru can pay up to 14 times more in transaction costs than trading ...