时间：2019年5月20日(周一)上午9:20-10:20
地点：中北校区理科大楼A1716报告厅
题目：Optimal collective investment: how costly are guarantees?
主讲人：An Chen（Professor, University of Ulm）
摘要：
Many pension beneficiaries are reluctant to give up guaranteed payments, as they believe that their benefits will deteriorate through this. In the present paper, we design and solve an optimal collective investment problem under a guarantee constraint, incorporating heterogeneous risk preferences of individual plan members, whose importance has recently been addressed in Alserda et al (2019). In such a collective optimization problem, imposing a constraint deteriorates the collective wealth, while the impact of the constraint on the individual investors heavily depends in the sharing rule. We show that requiring deterministic guarantees does not improve, but deteriorate the benefits of investors with different risk aversion. A flexible guarantee which consists of a deterministic and a state-dependent component turns out to serve each investor's risk appetite in a much better way than the deterministic guarantee, and consequently increases the benefits of all the individual investors substantially. (joint with Thai Nguyen and Manuel Rach)