Beta risk to individual pension plans in Spain

Abstract

This work was mainly aimed at a rigorous study of beta risk to individual Spanish pension plans from 1995-2003, analysing their characterisation, stability and prediction, several measurements being used leading to ratifying results, A sample of plans was thus analysed jointly as well as being divided into three groups regarding weighting variable income (variable-mixed variable income, mixed fixed income 11 and mixed fixed income 1); four different approaches were used for market portfolio.