Skip to main content

Welfare effects of collective investment for heterogeneous agents

In this paper, they consider the collective investment problem for a planner who seeks to minimize the maximal certainty-equivalent regret across agents, thus bringing all agents as closely as possible to their individual optimum. The motivating application is the investment problem of a pension provider in a defined-contribution pension system who needs to account for heterogeneity among participants.

14. mars 2025

In the Dutch pension debate, this type of collective investment problem has attracted considerable attention in the context of the recent national pension reform. According to the authors, thie paper is the first to address the joint problem of clustering participants into groups with similar characteristics while optimizing lifecycle strategies within each cluster.