Avaliação de riscos em estratégias de investimentos de longo prazo: aplicação prática em um fundo de pensão
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2004-06-29
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Costa, Carlos Eugênio da
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The main subject of the present work is the risk evaluation of long run investment strategies, where the requirement of a practical example led to the use of an Asset Liability Management Model for pension funds, more specifically, to plans with fixed benefit. With the instruments we adopted we believe that the investor whose investment horizon is larger has a more accurate perception of the market risk to which she is exposed, allowing for a portfolio selection that is more in accordance with the goals of management. To that end, the inclusion of decisions variables that aim at quantifying the management objectives – thus going beyond the simple mean-variance model – is of paramount importance.