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9 Feb 2017

Spanish (Mexico)
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could someone please correct the coherence and grammatic of this astract.... pleaseeeeeeeeee .... im desesperate.... :(

The document will explore how a part of the Peruvian regulation, the Minimum Return Guarantee (MRG), would be affecting the portfolio selection process of the Pension Fund Administrators (PFA’s). The MRG would be penalizing the differentiation, influencing the portfolio distribution and inducing herding. The incentive incompatibility caused by the MRG would induce the Portfolio Managers to carry out an inefficient portfolio selection. The PFA’s would be expected to maximize return and minimize risk; however, in addition to these two objectives, the MRG would be causing the PFA’s to maximize the correlation between their portfolio and the portfolio benchmark. First, the MRG will be valued as an exotic put option; then, given the cost function, the most adequate portfolio allocation problem will be presented; finally, according to Wagner (2001), , the most adequate model, the efficient frontiers will be derived and the consequences upon the optimum will be analized.

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Spanish (Mexico)

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English (US)

Spanish (Mexico)

Spanish (Mexico)

Spanish (Mexico)
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