Long Term Risk Assessment in a Defined Contribution Pension System

One of the most important consequences of the Chilean pension reform undertaken in the early 1980s was to transfer a significant portion of the risk associated to the financing of pensions, from the State, to the pension fund participants of the newly established compulsory pension system. This paper is concerned with the risk embedded in the portfolio strategies of pension fund portfolio managers. We develop an analytic framework that permits to incorporate the behavior of a pension fund manager in the long-term risk assessment of its investment strategy, where the latter is conducted from the point of view of the pension fund participant, who has preferences over his/her final pension. The pension fund manager’s problem is cast as a dynamic portfolio choice problem, and its solution is used afterwards to quantify the risk exposure of the pension fund participant. Our results from a simulation exercise show that the lower is the risk aversion of the participant, the higher is his/her Wealth-at-Risk —defined as the monetary compensation that leaves the participant indifferent with respect to his/her outside option— a result that is due to the fact that the outside option increases relatively more than the benefit derived from the pension provided by the fund manager. The same logic is behind the negative relationship between stock return volatility and pension risk.Dynamic convex risk measure; Pension system; Portfolio selection

Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile

A new Unemployment Insurance System based on individual accounts was launched in Chile on October 2002. One of the most interesting features of the system is given by the compensation scheme of the fund manager, which contains a performance based incentive benchmarked to one of the default portfolios of the pension system (pension funds Type E, with a 100% investment in fixed-income securities). This paper studies the portfolio choice problem of a fund manager which is subject to a similar performance-based compensation scheme. We model the portfolio choice problem of a risk averse portfolio manager that must finance an exogenous sequence of benefits, and whose terminal payoff depends upon the terminal value of the portfolio under management, relative to an exogenous benchmark portfolio. Our interest is on the consequences of the incentive scheme over the portfolio that is selected by the portfolio manager. For the Black and Scholes [1973] economy we are able to determine the investment policy in closed form. We show that the riskiness of the portfolio depends on the composition of the benchmark, and that the fund manager is motivated to imitate the investment policy of the benchmark in some random scenarios.Benchmark portfolio; Individual accounts; Portfolio choice; Unemployment Insurance

Upgrading investment regulations in second pillar pension systems : a proposal for Colombia

The passivity of the demand for pension products is one of the striking features of mandatory pension systems. Consequently, the provision of multiple investment alternatives to households (multifund schemes) does not ensure that contributions are invested efficiently. In addition, despite the theoretical findings that short term return maximization is not conductive to long-term return maximization, the regulatory framework of pension fund management companies puts excessive emphasis on short-term maximization. Therefore, it is not obvious that typical regulatory framework of pension funds is conductive to optimal pensions. By establishing a set of default options on investment portfolios, this paper proposes a mechanism to align the incentives of the pension fund management companies with the long-term objectives of the contributors. The paper provides a methodology, which is subsequently applied to Colombia.Debt Markets,Emerging Markets,Financial Literacy,Mutual Funds,Investment and Investment Climate

Long Term Risk Assessment in a Defined Contribution Pension System

One of the most important consequences of the Chilean pension reform undertaken in the early 1980s was to transfer a significant portion of the risk associated to the financing of pensions, from the State, to the pension fund participants of the newly established compulsory pension system. This paper is concerned with the risk embedded in the portfolio strategies of pension fund portfolio managers. We develop an analytic framework that permits to incorporate the behavior of a pension fund manager in the long-term risk assessment of its investment strategy, where the latter is conducted from the point of view of the pension fund participant, who has preferences over his/her final pension. The pension fund manager’s problem is cast as a dynamic portfolio choice problem, and its solution is used afterwards to quantify the risk exposure of the pension fund participant. Our results from a simulation exercise show that the lower is the risk aversion of the participant, the higher is his/her Wealth-at-Risk —defined as the monetary compensation that leaves the participant indifferent with respect to his/her outside option— a result that is due to the fact that the outside option increases relatively more than the benefit derived from the pension provided by the fund manager. The same logic is behind the negative relationship between stock return volatility and pension risk

Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile

A new Unemployment Insurance System based on individual accounts was launched in Chile on October 2002. One of the most interesting features of the system is given by the compensation scheme of the fund manager, which contains a performance based incentive benchmarked to one of the default portfolios of the pension system (pension funds Type E, with a 100% investment in fixed-income securities). This paper studies the portfolio choice problem of a fund manager which is subject to a similar performance-based compensation scheme. We model the portfolio choice problem of a risk averse portfolio manager that must finance an exogenous sequence of benefits, and whose terminal payoff depends upon the terminal value of the portfolio under management, relative to an exogenous benchmark portfolio. Our interest is on the consequences of the incentive scheme over the portfolio that is selected by the portfolio manager. For the Black and Scholes [1973] economy we are able to determine the investment policy in closed form. We show that the riskiness of the portfolio depends on the composition of the benchmark, and that the fund manager is motivated to imitate the investment policy of the benchmark in some random scenarios

The Going Public Decision and the Structure of Equity Markets

The industries in which listed firms are concentrated in less developed equity markets are not random, nor entirely explained by the underlying composition of production. Listed firms and market capitalization are disproportionately concentrated in industries with low beta (measured with their beta with the market portfolio in the U.S.). We document a strong positive relationship between the industry-weighted country beta and the degree of market development across countries. Recent IPO activity confirms the result since new listings have higher betas than the average firm already in the market

The Going Public Decision and the Structure of Equity Markets

The industries in which listed firms are concentrated in less developed equity markets are not random, nor entirely explained by the underlying composition of production. Listed firms and market capitalization are disproportionately concentrated in industries with low beta (measured with their beta with the market portfolio in the U.S.). We document a strong positive relationship between the industry-weighted country beta and the degree of market development across countries. Recent IPO activity confirms the result since new listings have higher betas than the average firm already in the market

Automatic breast density classification using a convolutional neural network architecture search procedure

Breast parenchymal density is considered a strong indicator of breast cancer risk and therefore useful for preventive tasks. Measurement of breast density is often qualitative and requires the subjective judgment of radiologists. Here we explore an automatic breast composition classification workflow based on convolutional neural networks for feature extraction in combination with a support vector machines classifier. This is compared to the assessments of seven experienced radiologists. The experiments yielded an average kappa value of 0.58 when using the mode of the radiologists' classifications as ground truth. Individual radiologist performance against this ground truth yielded kappa values between 0.56 and 0.79.Breast parenchymal density is considered a strong indicator of breast cancer risk and therefore useful for preventive tasks. Measurement of breast density is often qualitative and requires the subjective judgment of radiologists. Here we explore an automa941418CNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICODGI-2012-0141Medical Imaging 2015: Computer-Aided Diagnosi

Pseudofistulina radicata (Schwein) Burds: the first study focused on its antioxidante activity and bioactive compounds

Natural products with antioxidant activity are very useful in helping the organism to maintain health and be protected from several diseases originated by the excessive production of free radicais, being also used as nutraceuticals. Accordingly, the antioxidants intake from our daily diet, particularly in mushrooms, is of great importance, acting as protective agents against oxidative damage [1]. Pseudofistulina radicata (Schwein) Burds is a wild native mushroom from El Salvador, of which to the best of our knowledge no studies have been published identifying bioactive molecules or evaluating its antioxidant properties. The present work aims to study the antioxidant activity and to identify the bioactive compounds present in the dichloromethane extract obtained from this mushroom. P. radicata was purchase from street vendors in the municipality of Concepción de Ataco (Ahuachapán, El Salvador). An increasing polarity extraction from powdered dry mushroom, with tive solvents at room temperature from hexane to water, was performed. The antioxidant activity of the dichloromethane extract (the second one after using hexane) was evaluated through the reducing power and p-carotene bleaching inhibition assays; the results were 1.43 ± 0.01mg/mL responsible for 0.5 absorbance in the reducing power assay and 2.50 ± O.OSmg/mL responsible for 50% of pcarotene bleaching inhibition. The fraction was chemically characterized by gás chromatography coupled to a mass spectrometer detector (GC-MS) and proton nuclear magnetic resonance ('H NMR). Palmitic acid, linoleic acid and friedelin were the main molecules identified. Linoleic acid is an essential fatty acid, presenting anti-inflammatory activity and that prevents coronary diseases [2]. Friedelin is a terpene which possesses analgesic, anti-inflammatory and antipyretic activities [3]. Overall, these results indicate and strong potential of P. radicata to be used as a source of bioactive molecules, which could be included in diets as nutraceuticals and/or as functional foods maintaining and promoting health, longevity and life quality.The authors are grateful to the Foundation for Science and Technology_(FCT Portugal Spanish MINECO (CTQ2015-68~175-Wand FEDER under Program PT-2020 for financial support to CIMO (UID/AGR/00690/2013) and A. Fernandes( SFRH/BPD/114753/2016) and L . Barros contract.info:eu-repo/semantics/publishedVersio

Atypical Klebsiella Species in a Third Level Hospital as Cause of Neonatal Infection

Aportamos una propuesta para analizar la agresividad de un patógeno en relación a la resistencia y sensibilidad antimicrobianas encontradas.Background: The opportunistic pathogen Klebsiella pneumoniae is one of the main causes of pediatric bacterial blood stream infections (BSI), which is complicated with sepsis and high mortality. Objectives: To identify atypical Klebsiella species affecting a sample of infected neonates with low antimicrobial response. Methods: Multidrug resistant blood cultures for Klebsiella from a Neonatal Service, were submitted to molecular identification by sequencing analysis of 16S ribosomal RNA. Results: Themean age of the newborns was 14.7±5.6 days. A total of 6 out of 8 cases were sepsis, 1 case of pneumonia, and 1 a catheterrelated infection. The molecular identification showed 3 cases of K. pneumoniae subsp. ozaenae, 2 of K. pneumoniae and K. variicola, and 1 case of K. oxytoca. The highest antimicrobial resistance was against cephalosporins and Trimethoprim/sulfamethoxazole. Conclusions: Klebsiella pneumoniae subsp. ozaenae was responsible for multidrug resistant strains of Klebsiella even in 37.5% of cases. In our clinical setting, the use of Amikacin and carbapenems are still useful to treat neonatal infections by Klebsiella even against K. variicola, which is the most resistantCiprés Grupo Médico S.C. (CGM)