何林,梁宗霞,刘杨,马鸣——NORTH AMERICAN ACTUARIAL JOURNAL:Optimal Control of DC Pension Plan Management under Two Incentive Schemes
时间:2019-03-30
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