Optimal Control of DC Pension Plan Management under Two Incentive Schemes

Since the late 1990s, a performance fee arrangement has been approved as a managerial incentive in direction contribution (DC) pension plan management to motivate managers. However, the fact that managers may take undue risk for the larger performance fees and thus reduce members’ utility has been a subject of debate. As such, this study investigates the optimal risk-taking policies of DC pension fund managers under both the single management fee scheme and a mixed scheme with a lower management fee, as well as an additional performance fee. The analytical solutions are derived by using the duality method and concavification techniques in a singular optimization problem. The results show the complex risk-taking structures of fund managers and recognize the win-win situation of implementing performance-based incentives in DC pension plan management. Under the setting of geometric Brownian motion asset price dynamics and constant relative risk aversion utility, the optimal risk investment proportion shows a peak-valley pattern under the mixed scheme. Further, the manager gambles for gain when fund wealth is low and time to maturity is short. As opposed to the existing literature, this study found that the risk-taking policy is more conservative when fund wealth is relatively large. Furthermore, the utilities of the manager and members could both be improved by appropriately choosing the performance fee rate.     

Publishing? You can count on knowledge,experience, and expectations

Quality & Quantity - The study based on an online survey covering 655 researchers from hard and soft sciences addresses the influence of different conditions on academic publishing. Results...     

特殊软土路基加固处理施工技术

针对土层严重液化、普遍涌水的特殊软土路基条件,通过CFG桩实践失败经验,总结预应力混凝土管桩的施工方法和优越性。     

中国与独联体国家原油水分检测结果差异分析

通过ASTM D 4006和ГОСТ2477标准和实验对比,验证了同一原油样本进行含水检测时,ГОСТ2477的检测结果小于ASTM D 4006的检测结果。     

高校构建产学研合作保障机制的研究

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中小汽车企业经销商电子商务管理系统的设计

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河南农民农业收入与生产现状调查

本文是通过对河南省16个地市104份随机的问卷调查的基础上,对68份合格问卷进行定量分析,然后对农民农业收入增长影响的因素进行归纳分析,并提出增加农业农民收入的对策。     

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金融隐私权是基于保护金融消费者的金融信息而产生的隐私权。当前，我国金融业存在着较多侵犯金融消费者金融隐私权的现象，主要原因在于隐私权保护理念落后及相关立法不完备。据此，可通过更新立法理念，完善相关法律、法规，加强金融机构自律等途径加以改进。