Corpus ID: 207880725

Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences

@article{Armstrong2019CollectivisedPI,
  title={Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences},
  author={J. Armstrong and C. Buescu},
  journal={arXiv: Portfolio Management},
  year={2019}
}
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We give a numerical algorithm to compute the optimal investment-consumption strategy for an infinite collective of identical investors with exponential Kihlstrom--Mirman preferences, investing in the Black--Scholes market in continuous time but consuming in discrete time. Our algorithm can also be applied to an individual investor. We derive an analytic formula… Expand

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