Optimal Investment Strategy of Defined Contribution Pension Based on Bequest Motivation and Loss Aversion

Under the S-shaped utility of loss aversion, this paper considers bequest motivation pension plan participants, random salary income before retirement and substitution rate between receiving benefits after wages retirement, studies optimal investment strategy defined contribution (DC) pension. Assuming that funds can invest in a financial market consisting three assets (risk-free asset cash, rolling bonds stocks), inflation is considered by discount. utility, Lagrange method used to find terminal surplus pensions so as wealth, then martingale wealth process strategy. Finally, sensitivity analysis carried out on influence aversion DC