论文标题
异质集体投资基金的渐近最佳管理
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
论文作者
论文摘要
集体资金是养老金投资的一种拟议形式，在该基金中，所有投资者都同意，与已故成员相关的任何资金都应在幸存者中分配。为了使其成为可行的金融产品，有必要知道如何管理基金，即使是异质的：那是不同的投资者具有不同的偏好，财富和死亡率的时候。没有明显的方法来定义异质基金的单个目标，因此这不是一个最佳的控制问题。代替目标函数，我们采用了公理方法。在基金管理方面的公理限制，我们发现，假设一个完整的市场和缺乏系统的寿命风险，可以为每个投资者实现的效用。我们为管理这种异质资金提供了一项策略，该基金逐渐实现这一目标，因为投资者的数量倾向于无限。
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 financial product, it is necessary to know how to manage the fund even when it is heterogeneous: that is when different investors have different preferences, wealth and mortality. There is no obvious way to define a single objective for a heterogeneous fund, so this is not an optimal control problem. In lieu of an objective function, we take an axiomatic approach. Subject to our axioms on the management of the fund, we find an upper bound on the utility that can be achieved for each investor, assuming a complete markets and the absence of systematic longevity risk. We give a strategy for the management of such heterogeneous funds which achieves this bound asymptotically as the number of investors tends to infinity.
