Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion
Joint Authors
Dong, Yinghui
Lv, Wenxin
Wei, Siyuan
Gong, Yeyang
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-05-18
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Dong, Yinghui& Lv, Wenxin& Wei, Siyuan& Gong, Yeyang. 2020. Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-14.
https://search.emarefa.net/detail/BIM-1195712
Modern Language Association (MLA)
Dong, Yinghui…[et al.]. Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion. Mathematical Problems in Engineering No. 2020 (2020), pp.1-14.
https://search.emarefa.net/detail/BIM-1195712
American Medical Association (AMA)
Dong, Yinghui& Lv, Wenxin& Wei, Siyuan& Gong, Yeyang. Optimal Investment of DC Pension Plan under Incentive Schemes and Loss Aversion. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-14.
https://search.emarefa.net/detail/BIM-1195712
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195712
