Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion

Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion

We investigate the DC pension manager’s portfolio problem when the manager is remunerated through two schemes for DC pension managerial compensation under loss aversion and minimum guarantee. We apply the concavification technique and a static Lagrangian technique to solve the problem and derive the...

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Main Authors: Yinghui Dong, Wenxin Lv, Siyuan Wei, Yeyang Gong
Format: Article
Language:English
Published: Hindawi Limited 2020-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2020/5145848
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spelling doaj-6343db35e8a44465bf1b65b464f1be892020-11-25T03:53:49ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472020-01-01202010.1155/2020/51458485145848Optimal Investment of DC Pension Plan under Incentive Schemes and Loss AversionYinghui Dong0Wenxin Lv1Siyuan Wei2Yeyang Gong3Department of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou 215009, ChinaDepartment of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou 215009, ChinaDepartment of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou 215009, ChinaDepartment of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou 215009, ChinaWe investigate the DC pension manager’s portfolio problem when the manager is remunerated through two schemes for DC pension managerial compensation under loss aversion and minimum guarantee. We apply the concavification technique and a static Lagrangian technique to solve the problem and derive the closed-form representation of the optimal wealth and portfolio processes. Theoretical and numerical results show that the incentive schemes can significantly impact the distribution of the optimal terminal wealth.http://dx.doi.org/10.1155/2020/5145848
collection DOAJ
language English
format Article
sources DOAJ
author Yinghui Dong
Wenxin Lv
Siyuan Wei
Yeyang Gong
spellingShingle Yinghui Dong
Wenxin Lv
Siyuan Wei
Yeyang Gong
Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion
Mathematical Problems in Engineering
author_facet Yinghui Dong
Wenxin Lv
Siyuan Wei
Yeyang Gong
author_sort Yinghui Dong
title Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion
title_short Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion
title_full Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion
title_fullStr Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion
title_full_unstemmed Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion
title_sort optimal investment of dc pension plan under incentive schemes and loss aversion
publisher Hindawi Limited
series Mathematical Problems in Engineering
issn 1024-123X
1563-5147
publishDate 2020-01-01
description We investigate the DC pension manager’s portfolio problem when the manager is remunerated through two schemes for DC pension managerial compensation under loss aversion and minimum guarantee. We apply the concavification technique and a static Lagrangian technique to solve the problem and derive the closed-form representation of the optimal wealth and portfolio processes. Theoretical and numerical results show that the incentive schemes can significantly impact the distribution of the optimal terminal wealth.
url http://dx.doi.org/10.1155/2020/5145848
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AT wenxinlv optimalinvestmentofdcpensionplanunderincentiveschemesandlossaversion
AT siyuanwei optimalinvestmentofdcpensionplanunderincentiveschemesandlossaversion
AT yeyanggong optimalinvestmentofdcpensionplanunderincentiveschemesandlossaversion
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