  This paper proposes and investigates an optimal pair investment/pension
policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest
in a buffer fund in order to guarantee a minimal pension amount. The model aims
at taking into account complex dynamic phenomena such as the demographic risk
and its evolution over time, the time and age dependence of agents preferences,
and financial risks. The preference criterion of the social planner is modeled
by a consistent dynamic utility defined on a stochastic domain, which
incorporates the heterogeneity of overlapping generations and its evolution
over time. The preference criterion and the optimization problem also
incorporate sustainability, adequacy and fairness constraints. The paper
designs and solves the social planner's dynamic decision criterion, and
computes the optimal investment/pension policy in a general framework. A
detailed analysis for the case of dynamic power utilities is provided.
