Corpus ID: 214795107

Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds

@article{Armstrong2020AsymptoticallyOM,
  title={Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds},
  author={J. Armstrong and C. Buescu},
  journal={arXiv: Portfolio Management},
  year={2020}
}
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors. For this to be a viable financial product, it is necessary to know how to manage the fund even when it is heterogeneous: that is when different investors have different preferences, wealth and mortality. There is no obvious way to define a single objective for a heterogeneous fund, so this is not an optimal control problem… Expand
1 Citations
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