# 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

#### 4 Citations

Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences.

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In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors.
We compute analytically the optimal investment-consumption… Expand

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We study the optimal management of a collectivised pension fund, where all investors agree that the assets of deceased members are shared among the survivors. We find that for realistic parameters… Expand

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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… Expand

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We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, an annuity or… Expand

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