Calibration of risk aversion to real pension asset allocation
提出一种根据养老金储蓄的实际资产配置推断投资者风险厌恶程度的方法，通过逆向求解默顿最优投资公式来估计风险厌恶参数，并利用丹麦养老金组合的数值研究验证了其实用性。
We introduce a method to infer an investor's risk aversion based on the observed asset allocation of their pension savings. By assuming the actual allocation is optimal under a constant relative risk aversion (CRRA) utility, we invert Merton's optimal investment formulas to estimate the risk aversion parameter. The approach incorporates the present value of future premiums, resulting in strategies that align with life-cycle pension products. To ensure stability, we develop a customized risky fund matched with the investor's allocation, enabling reliable calibration across various asset classes. A numerical study on a Danish pension portfolio demonstrates the practical use. The findings show realistic and stable risk aversion levels consistent with the CRRA assumption and offer a tool to better understand and benchmark the implicit preferences embedded in pension product design.