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Semestre Económico
versão impressa ISSN 0120-6346
Resumo
KRISTJANPOLLER RODRIGUEZ, Werner e GARCIA SOBARZO, Manuel. BETA RISK EN THE CHILEAN PENSION FUNDS. Semest. Econ. [online]. 2014, vol.17, n.35, pp.127-148. ISSN 0120-6346.
managed by pension fund managers in Chile for the 2002 - 2012 time period. The characterization, consistency and stability of the beta risk for these funds are analyzed with the help of the minimum squares, Blume and Vasicek methods. The results conclude that the beta index is a good measure to determine how risky can an investment be, which proves that pension funds tend to have a defensive behavior given the nature of the investment portfolios.
Palavras-chave : Pension funds; beta; risk and return.