GENERATION OF SCENARIOS AND COINTEGRATION ANALYSIS FOR ALLOCATION INVESTMENT IN SUPPLEMENTARY PENSION FUND

Wesley Vieira Silva, Wevergton Junior Adão, June Allison W. Cruz, Jansen Maia Del Corso
DOI: https://doi.org/10.5329/RECADM.2013023

Abstract

The objective of this work is to present for an investment portfolio allocation taking into consideration long-term relations between financial assets and economy indexes. The observed data are from a time series of economic indicators, as well the financial market, encompassing the period of the Real Plan establishment. The gathered results assist in the understanding of decision structures from a Closed Pension Fund, generating information on the relations of long-term period from variables which can be used as parameters for probabilistic scenarios. All things considered, several tactics of investments are evaluated in terms of their performance throughout a 40-year projection. The validation of results is carried through by means of a statistical package S-Plus, allowing a deeper analysis over the strategy adopted, regarding the need of risks management, specifically those associated with the maintenance of the pension fund solvency.


Keywords

Asset Liability Management (ALM); Pension Fund; Cointegration

Compartilhe

References


Almeida, M. I. R. (1997) Por que não desenvolver uma analise ambiental para o planejamento estratégico que tenha lógica, e não seja apenas um agrupamento de informações. In: Conselho Monetário Nacional [CMN]. Resolução Nº 3.792/2009. Anais Encontro Nacional da Associação Nacional de Pós-Graduação e Pesquisa em Administração, Rio de Janeiro, RJ, Brazil, 21.

Banco Central do Brasil [BACEN]. (2007) Brasília: Disponível em https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.do?method=prepararTelaLocalizarSeries. Recuperado em 16 de Abril de 2007.

Brady, M. (2000) Simulation as an aid in strategy making. Operational Research Society Annual Conference, Dublin, Ireland.

Instituto Brasileiro de Geografia e Estatística [IBGE]. (2007) Sistema Nacional de Preços ao Consumidor - SNIPC. Rio de Janeiro: Disponível em: . Recuperado em 15 de abril de 2007.

Enders, W. (2005) Applied econometrics time series. 2a. ed., John Wiley & Sons, 2005.

Enriquez, E. (1997) O indivíduo preso na armadilha da estrutura estratégica. ERA, 37 (1), 18-29.

Fleisher, C. S. & Bensoussan, B. E. (2002) Strategic and competitive analysis: methods and techniques for analyzing business competition. New Jersey: Prentice Hall.

Fundação Getúlio Vargas. (2007) Índices gerais de preços. Disponível em: . Recuperado em 15 de abril de 2007.

Georganzas, N. C. & Acar, W. (1995) Scenario-driven planning: learning to manage strategic uncertainty. Westport, Connecticut London: Quorum Books.

Hamilton, J. D. (1994) Time series analysis. New Jersey, Princeton University Press.

Harris, R. I. D. (1995) Using cointegration analysis in economic modelling. Harlow, England: Prentice Hall.

Hendry, D. F. (1995) Dynamic econometrics. Oxford: Oxford University Press.

Jennings, D. (2002) Strategic management: an evaluation of the use of three learning methods. The Journal of Management Development, 655-665. Nottingham, United Kingdom.

Johansen, S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 231-254.

Jung, C. F. (2004) Metodologia para pesquisa & desenvolvimento, aplicada a novas tecnologias, produtos e processos. Rio de Janeiro: Axcel Books do Brasil.

Lûtkepohl, H. (2005). New introduction to multiple time series analysis. Berlim: Springer Verlag.

Margarido, M. A., Oliveira R. S., & Souza, W. A. (2006) Mercados Futuros e Hedging no Mercado da Soja: O Caso Barreiras. Revista Desenbahia, 5(9).

Mintzberg, H. (2000) Ascensão e queda do planejamento estratégico. São Paulo: Bookman.

Quinn, J. B. (1978) Strategic change: logical incrementalism. Sloan Management Review, 20 (1), 7.

Sargan, J. D. (1964) Wages and prices in the united kingdom: a study in econometric methodology. In P. E. Hart, G. Mills, and J. N. Whittaker. Econometric Analysis for National Economic Planning. London: Butterworths.

Schwartz, R. G. & Teach, R. D. (2000) Methodology to study firms’ strategies and performance over time. Journal of Marketing Theory and Practice, 8 (3).

Simon, H. A. (1997) Models of bounded rationality: empirically grounded economic reason. MIT Press, 3.

Shimizu, T. (1975) Simulação em computador digital. São Paulo: Editora Edgard Blücher.

Utterback, J. M. (1979) Environmental analysis and forecasting in strategic management. EUA: Little, Brown and Company.




Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.