We derive optimal portfolio choice patterns in retirement (ages 66–105) for a constant relative risk aversion utility maximising investor facing risky capital market returns, stochastic mortality risk, and income-reducing health shocks. Beyond the usual stocks and bonds, the individual can invest his assets in tontines. Tontines are cost-efficient financial contracts providing age-increasing, but volatile cash flows, generated through the pooling of mortality without guarantees, which can help to match increasing financing needs at old ages. We find that a tontine invested in the risk-free asset dominates stock investments for older investors without a bequest motive. However, with a bequest motive, it is optimal to replace the tontine investment over time with traditional financial assets. Our results indicate that early in retirement, a tontine is only an attractive investment option, if the tontine funds are invested in a risky asset. In this case, they crowd out stocks and risk-free bonds in the optimal portfolios of younger investors. Over time, the average optimal portfolio weight of tontines decreases. Introducing systematic mortality risks noticeably reduces the peak allocation to tontines.

中文翻译：

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系统性长寿风险下联合养老保险的最优投资组合选择

我们推导出退休（66-105 岁）的最佳投资组合选择模式，以获得恒定的相对风险规避效用，使面临风险资本市场回报、随机死亡风险和收入减少的健康冲击的投资者最大化。除了通常的股票和债券，个人还可以将其资产投资于联合养老保险。联合养老保险是一种具有成本效益的金融合同，可提供随着年龄增长但不稳定的现金流，通过无担保的死亡率汇集而产生，这有助于满足老年人日益增长的融资需求。我们发现，在没有遗赠动机的情况下，投资于无风险资产的联合养老保险在年长投资者的股票投资中占主导地位。然而，出于遗赠动机，随着时间的推移，用传统金融资产取代联合投资是最佳的。我们的研究结果表明，在退休初期，如果联合养老保险基金投资于风险资产，联合养老保险只是一种有吸引力的投资选择。在这种情况下，他们排挤了年轻投资者最佳投资组合中的股票和无风险债券。随着时间的推移，联合养老保险的平均最优投资组合权重会下降。引入系统性死亡风险显着减少了对联合养老保险的峰值分配。