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Ítem Caso de estudio. Cómo crear un portafolio de inversión con las opciones que ofrecen los fondos de pensiones voluntarias en Colombia: el caso de Skandia: Caso de Estudio(Universidad Icesi, 2009-10-01) Camacho Roger, Virginia; Berggrun Preciado, LuisEste caso consiste en aplicar el modelo de construcción de portafolios de Markowitz (1952) para armar portafolios óptimos a partir de la mezcla de varias alternativas de inversión que ofrece un Fondo de Pensiones Voluntarias como Skandia, con diversas clases de riesgo, teniendo en cuenta el nivel de aversión al riesgo de los inversionistas. Este caso consiste em aplicar o modelo de construção de portafolios de Markowitz para armar portafolios ótimos a partir da mistura de várias alternativas de investimento que oferece um Fundo de Pensões Voluntárias como Skandia, com diversas classes de risco, tendo em conta o nível de aversão ao risco dos inversionistas.Ítem Currency Hedging for a Dutch Investor: The Case of Pension Funds and Insurers(Netherlands Central Bank, Research Department, 2015-10-01) Berggrun Preciado, LuisThis paper analyzes the risk reduction effectiveness of currency hedging international portfolios from the perspective of an average Dutch pension fund and insurer during the period 1999-2004. Several portfolios and approaches to hedging are analyzed. Passive hedging seems to be efficient in reducing the volatility of a foreign bond portfolio whereas the risk reduction achieved for a foreign equity portfolio is not significant. The case of mixed (bonds and equities) portfolios and hedging is also analyzed. No significant risk reduction (at the same level of returns as that of an unhedged portfolio) was attained using a static hedging approach and portfolio optimization under short sale constraints. Using a selective (dynamic) hedging approach based on the forward premium, showed similar results; the volatility of an unhedged and hedged portfolio was virtually the same. Nevertheless, this selective hedging strategy had a positive impact improving the hedged portfolio returns.