Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility

In this paper, we study the optimal investment strategy for a defined contribution pension plan under jump diffusion model and S-shaped utility. We assume that members can invest their fund in financial market consisting of risk-free asset risk whose price process follows process. The goal managers is to maximize expected utility real terminal wealth apply Lagrange dual method, concavification technique martingale method derive closed-form expressions strategy. Finally, also try use some numerical analysis explain impacts parameters on value trading