Corpus ID: 215238508

Collectivised Post-Retirement Investment

@article{Armstrong2019CollectivisedPI,
  title={Collectivised Post-Retirement Investment},
  author={J. Armstrong and C. Buescu},
  journal={arXiv: Portfolio Management},
  year={2019}
}
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 individual fund requires approximately 20\% more initial capital to provide as good an outcome as a collectivised investment fund. We demonstrate the importance of the new concept of pension adequacy in defining investor preferences and determining optimal fund management. We show how to manage… Expand

Figures and Tables from this paper

Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
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 viableExpand
Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences
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 optimalExpand
Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences.
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-consumptionExpand

References

SHOWING 1-10 OF 29 REFERENCES
Axiomatic utility theories with the betweenness property
This paper focuses on the betweenness property of expected utility theory. We provide an axiomatization of the class of betweenness-conforming utility theories. Subclasses of betweenness-conformingExpand
Temporal Resolution of Uncertainty and Dynamic Choice Theory
We consider dynamic choice behavior under conditions of uncertainty, with emphasis on the timing of the resolution of uncertainty. Choice behavior in which an individual distinguishes betweenExpand
Consumption Investment Optimization with Epstein-Zin Utility in Incomplete Markets
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevantExpand
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
This paper develops a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries. An important feature of these general preferences is that theyExpand
Risk aversion with many commodities
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
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 viableExpand
Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences
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 optimalExpand
Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences.
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-consumptionExpand
Epstein-Zin Utility Maximization on Random Horizons
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the marketExpand
Classifying Markets up to Isomorphism
We define a notion of isomorphism for financial markets in both discrete and continuous time. We classify complete one-period markets. We define an invariant of continuous time complete markets whichExpand
...
1
2
3
...