关键词: VaR约束, DC养老金计划, 损失厌恶, 激励机制, 凹化

Abstract: We investigate the optimal portfolio problem of a DC pension fund manager for DC pension managerial compensation under loss aversion as well as the single management fee scheme and a mixed scheme with a lower management fee,as well as an additional performance fee. We apply the concavification technique to solve the problem and derive the closed-form representations of the optimal wealth and portfolio processes under the constraints on the terminal wealth. The numerical results show that the loss aversion, VaR constraint and the remuneration schemes can significantly impact the distribution of the optimal terminal wealth. When the reference point is relatively high, the mixed incentive scheme leads to lower tail risk of the optimal terminal wealth due to loss aversion.

Key words: VaR constraint, DC pension plan, loss aversion, incentive schemes, concavification