Dynamic Optimal Pension Fund Portfolios when Risk Preferences Are Heterogeneous among Pension Participants

摘要

In this paper, we consider the problem of an optimal pension fund portfolio given the heterogeneous risk preferences of pension fund participants. The relative risk aversion of a pension fund tends to be a decreasing function of the level of aggregate wealth. We find that the dynamic optimal portfolio is simply characterized as the weighted sum of the optimal portfolio for each participant. Our model helps successfully establish the microfoundation of asset liability management models. A numerical example using recent Japanese data indicates the significant total welfare losses of adopting a suboptimal portfolio strategy and an inefficient risk-sharing rule.