Alocação de ativos para fundos de previdência complementar no Brasil / Pension funds asset allocation in Brazil

AUTOR(ES)
DATA DE PUBLICAÇÃO

2010

RESUMO

The purpose of this study was to analyze the impact of uncertain of labor income and asset allocation decisions on accumulating wealth for retirement. The analysis was done by simulation of some investment strategies, comparing a single asset investment, life-style funds and life-cycle funds. The model took into account the labor income profile by age and the correlation of labor income and domestic stock returns. We also discussed which kind of assets should be used by long-term investors and how regulatory constraints can influence asset allocation decisions and portfolio diversification. The simulation results showed us that uncertainty in labor income has a strong impact on the accumulation of assets for retirement and that the correlation between the domestic stock market and labor income negatively impacts the portfolio returns with high allocation in this market. The conclusion presents a reflection of how the analysis of behavior of labor income becomes important in asset allocation choice in pension funds, where the actual shape of the curve of labor income, leads us to conclude that the allocation based on life-cycle seems to be most appropriate for working investors

ASSUNTO(S)

ciclo da vida perfil da renda do trabalho economia pension funds labor income profile asset allocation alocação de ativos life cycle fundos de previdência complementar

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