Aggregate portfolio choice
研究了在统一约束下为异质性投资者群体设计最优投资组合的方法，通过求解平均欧拉方程得到72个行业养老金计划的默认基金，发现行业间收益增长矩的差异解释了最优选择的变化。
Important portfolio choice decisions are made for large groups of heterogeneous individual investors. I propose solving the cross-sectional average of the individual Euler equations to find an optimal portfolio for an aggregate of investors under one-size-fits-all constraints. Using a dynamic portfolio choice model to design balanced default funds for 72 hypothetical industry pension plans, the average Euler equations depend on industry-specific per-capita earnings growth and moments of idiosyncratic earnings shocks. Inter-industry heterogeneity in moments of the joint distribution of earnings growth and the return on risky assets, including correlation and cokurtosis, explains the variation in optimal choice variables across industries. • Important portfolio choice decisions are made for an aggregate of investors. • I obtain optimal portfolios from solving the average Euler equations of investors. • Policy functions in state variables are parameterized and estimated by GMM. • I derive optimal default funds for 72 hypothetical U.S. industry pension plans. • Moments of industry-specific earnings growth explain variation in default funds.