Speaker: Javier Garcia Gonzalez, Tilburg University
Title: Welfare effects due to collective investments based on heterogeneous preferences
Abstract: Collective investment involves aggregating the individual objectives of a group with heterogenous risk preferences and risk capacities, and creating an appropriate investment plan. We consider the problem of a planner who aggregates individual objectives using the maxmin criterion, and faces discrete trading and leverage constraints. The maxmin multi-period problem is solved numerically via population games. Additionally, we explore clustering for solutions that range from individually tailored plans to a single investment plan for the whole collective, as well as the use of leverage.