# 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

#### 3 Citations

Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds

- Economics
- 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… Expand

Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences

- Economics
- 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… Expand

Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences.

- Economics
- 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 compute analytically the optimal investment-consumption… Expand

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Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds

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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

Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences

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- 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… Expand

Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences.

- Economics
- 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 compute analytically the optimal investment-consumption… Expand

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