BETA RISK EN THE CHILEAN PENSION FUNDS
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Copyright (c) 2015 Semestre Económico
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Published: November 13, 2014
Abstract
This article aims to estimate the beta risk of pension funds 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.
