What is the focus of the paper?
This study focuses on developing optimal collective investment strategies that take into account the
diversity of risk preferences (what level of risk one is willing to take) and risk capacities (what
level of risk one is able to bear) among pension participants. The goal is to find a method that brings each pension participant as close as possible to their individual optimum within a collective strategy strategy – or with a small menu of possible investment strategies.
What are the implications?
The collective investment issue under study has garnered significant attention in the context of the recent national pension reform. The collective investment strategies developed in this paper provide an efficient balance between individual needs and the group optimum. This eliminates the need for full personalization of the investment strategy, thereby reducing management costs and complexity