We study the optimal consumption and investment decisions of investors who are heterogeneous with respect to their income risk. We solve and compare the solutions of two market setups. In the first setup, the investor finds the individual’s best investment and consumption strategy. In the second one, a central planner, e.g., a pension fund, sets up a one-size-fits-all investment plan for all investors, and the investors select their optimal consumption path. Instead of relying on a parametric model, we bootstrap economic scenarios and solve the life cycle problem using neural networks to find the optimal policy functions. We find that the one-size-fits-all solution can have costs of up to three percent of certainty equivalent consumption when compared to the individual optimal solution.