激励机制和VaR约束下的DC养老金计划的最优投资

研究了DC养老金经理在单一管理费以及混合收费(同时收取管理费与绩效费)这两种不同的薪酬机制和损失厌恶下的最优投资组合问题。利用凹化方法得到了存在终端财富约束下的最优财富过程和最优投资策略的解析表达式。数值结果表明损失厌恶,VaR约束和薪酬机制会极大地影响最优终端财富的分布。特别地,在决策参照点较高时,损失厌恶会导致混合薪酬机制下最优终端财富的尾部风险较低。

Optimal Investment of DC Pension Plan under Incentive Schemes and VaR Constraint

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.