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- Title
Modelo Black-Litterman con Support Vector Regression: una alternativa para los fondos de pensiones obligatorios colombianos.
- Authors
Andrés Buriticá-Mejía, Julián
- Abstract
The Colombian pension model is characterized by being intergenerational, reason why it has been affected by three major structural problems: inequality, low coverage and financial unsustainability, to which the Colombian government has reacted with regulatory measures that have somewhat relieved these problems. However, these prudential regulations have a negative effect on the inherent purpose of the investment fund, which is the generation of wealth to guarantee the intertemporal consumption of the Colombian elderly population. Therefore, the pension funds in Colombia requires that under the framework of the stablished regulations, new alternatives for structuring their portfolios be studied that allow them into better and more efficient management of retirement resources for Colombian people. In this sense, an efficient portfolio and frontier were built through a Support Vector Machine and the Black Litterman model to the Colombian Mandatory Pension Funds, with the aim to test the applicability of machine learning in financial fields. Results show that its applicability to the Black-Litterman portfolio structuring model is suitable through the improvement to the a priori distribution matrix, specifically with the use of Support Vector Regression, the model generated better diversified portfolios in comparison to the Markowitz model and shows to be adaptable to the Colombian Mandatory Pension Funds.
- Subjects
COLOMBIA; INTERTEMPORAL choice; PENSION trusts; SUPPORT vector machines; COLOMBIANS; MACHINE learning
- Publication
ODEON - Observatorio de Economía y Operaciones Numéricas, 2020, Issue 18, p205
- ISSN
1794-1113
- Publication type
Article
- DOI
10.18601/17941113.n18.06